6 Time series decomposition

Time series data can exhibit a huge variety of patterns and it is helpful to categorize some of the patterns and behaviours that can be seen in time series. It is also sometimes useful to try to split a time series into several components, each representing one of the underlying categories of pattern.

In this chapter, we consider some common patterns and methods to extract the associated components from a time series. Often this is done to help understand the time series better, but it can also be used to improve forecasts.