Performances test statistics for single outlier detection in bilinear (1,1,1,1) models

Azami Zaharim, Ibrahim Mohamed, Ibrahim Ahmad, Shahrum Abdullah, Mohd Zaidi Omar

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

An outlier detection procedure for BL(1,1,1,1) model is developed based on the maxima of the test statistics measuring the effects of IO, AO, TC and LC. A simulation study is carried out in order to investigate the sampling properties of the maxima of the outlier test statistics. It is associated with the sample size, the type of outlier and the coefficients chosen for BL(1,1,1,1). The results show that, in general, the performance of the detection procedure is good. The outlier detection procedure performs well in detecting AO for large value of ω̂AO. As for IO, the performance of outlier detection procedure is better for model with larger coefficient values. The outlier detection procedure is capable of detecting TC and LC, though the performance is affected if ω is large.

Original languageEnglish
Pages (from-to)1359-1364
Number of pages6
JournalWSEAS Transactions on Mathematics
Volume5
Issue number12
Publication statusPublished - 01 Dec 2006

All Science Journal Classification (ASJC) codes

  • Algebra and Number Theory
  • Endocrinology, Diabetes and Metabolism
  • Statistics and Probability
  • Discrete Mathematics and Combinatorics
  • Management Science and Operations Research
  • Control and Optimization
  • Computational Mathematics
  • Applied Mathematics

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