Detection Procedure for a Single Additive Outlier and Innovational Outlier in a Bilinear Model

Azami Zaharim, Ibrahim Ahmad, Ibrahim Mohamed, Mohd Sahar Yahaya

Abstract


A single outlier detection procedure for data generated from BL(1,1,1,1) models is developed. It is carried out in three stages. Firstly, the measure of impact of an IO and AO denoted by IO ω , AO ω , respectively are derived based on least squares method. Secondly, test statistics and test criteria are defined for classifying an observation as an outlier of its respective type. Finally, a general single outlier detection procedure is presented to distinguish a particular type of outlier at a time point t.

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DOI: http://dx.doi.org/10.18187/pjsor.v3i1.69

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Title

Detection Procedure for a Single Additive Outlier and Innovational Outlier in a Bilinear Model

Keywords

-

Description

A single outlier detection procedure for data generated from BL(1,1,1,1) models is developed. It is carried out in three stages. Firstly, the measure of impact of an IO and AO denoted by IO ω , AO ω , respectively are derived based on least squares method. Secondly, test statistics and test criteria are defined for classifying an observation as an outlier of its respective type. Finally, a general single outlier detection procedure is presented to distinguish a particular type of outlier at a time point t.

Date

2007-01-01

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol 3. No. 1, Jan 2007



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810