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A simulation study of additive outlier in ARMA (1, 1) model

Abnormal observation due to an isolated incident such as a recording error is known as additive outlier and it is often found in time series. Since extreme value of additive outliers may contribute to the inaccuracy of model specification, proper detection procedure is significant to avoid such erro...

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Main Authors: Zaharim, Azami, Rajali, Rafizah, Atok, Raden Mohamad, Mohamed, Ibrahim, Jafar, Khamisah
Format: Article
Published: North Atlantic University Union 2009
Subjects:
Q Science (General)
QA Mathematics
Online Access:http://eprints.um.edu.my/25153/
https://www.naun.org/main/NAUN/ijmmas/mmmas-143.pdf
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spelling my.um.eprints.251532020-07-21T08:13:35Z http://eprints.um.edu.my/25153/ A simulation study of additive outlier in ARMA (1, 1) model Zaharim, Azami Rajali, Rafizah Atok, Raden Mohamad Mohamed, Ibrahim Jafar, Khamisah Q Science (General) QA Mathematics Abnormal observation due to an isolated incident such as a recording error is known as additive outlier and it is often found in time series. Since extreme value of additive outliers may contribute to the inaccuracy of model specification, proper detection procedure is significant to avoid such error. Equations that explain the nature of an additive outlier and the test statistics pertaining to it are discussed in this article. This is followed by two separate simulation studies that are conducted to investigate the sampling behavior and detection performance of the test statistics in ARMA (1, 1) models. Results for the first simulation study show that the test statistics is an increasing function of sample size. Whilst in the other simulation study we see that the performance of the test statistics improves as large magnitudes of outlier effect are used. North Atlantic University Union 2009 Article PeerReviewed Zaharim, Azami and Rajali, Rafizah and Atok, Raden Mohamad and Mohamed, Ibrahim and Jafar, Khamisah (2009) A simulation study of additive outlier in ARMA (1, 1) model. International Journal of Mathematical Models and Methods in Applied Sciences, 3 (2). pp. 162-169. ISSN 1998-0140 https://www.naun.org/main/NAUN/ijmmas/mmmas-143.pdf
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic Q Science (General)
QA Mathematics
spellingShingle Q Science (General)
QA Mathematics
Zaharim, Azami
Rajali, Rafizah
Atok, Raden Mohamad
Mohamed, Ibrahim
Jafar, Khamisah
A simulation study of additive outlier in ARMA (1, 1) model
description Abnormal observation due to an isolated incident such as a recording error is known as additive outlier and it is often found in time series. Since extreme value of additive outliers may contribute to the inaccuracy of model specification, proper detection procedure is significant to avoid such error. Equations that explain the nature of an additive outlier and the test statistics pertaining to it are discussed in this article. This is followed by two separate simulation studies that are conducted to investigate the sampling behavior and detection performance of the test statistics in ARMA (1, 1) models. Results for the first simulation study show that the test statistics is an increasing function of sample size. Whilst in the other simulation study we see that the performance of the test statistics improves as large magnitudes of outlier effect are used.
format Article
author Zaharim, Azami
Rajali, Rafizah
Atok, Raden Mohamad
Mohamed, Ibrahim
Jafar, Khamisah
author_facet Zaharim, Azami
Rajali, Rafizah
Atok, Raden Mohamad
Mohamed, Ibrahim
Jafar, Khamisah
author_sort Zaharim, Azami
title A simulation study of additive outlier in ARMA (1, 1) model
title_short A simulation study of additive outlier in ARMA (1, 1) model
title_full A simulation study of additive outlier in ARMA (1, 1) model
title_fullStr A simulation study of additive outlier in ARMA (1, 1) model
title_full_unstemmed A simulation study of additive outlier in ARMA (1, 1) model
title_sort simulation study of additive outlier in arma (1, 1) model
publisher North Atlantic University Union
publishDate 2009
url http://eprints.um.edu.my/25153/
https://www.naun.org/main/NAUN/ijmmas/mmmas-143.pdf
_version_ 1680857005318733824
score 13.211869

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