Fiorentini, Gabriele; Planas, Christophe - In: Journal of Business & Economic Statistics 19 (2001) 4, pp. 455-64
We analyze the situation in which the decomposition of a time series into orthogonal balanced components as performed by the AR IMA-model-based (AMB) method is nonadmissible. We show that considering top-heavy models for the components can solve the problem. The top-heavy decomposition is...