Outlier evaluation for the bilinear time series model.
The problem of detecting an outlier and then identifying its type for bilinear time series data is studied. The e®ects of temporary change type of outlier on the observations and residuals for general bilinear processes are considered and the corresponding least-squares measure of the decision thres...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | en |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://eprints.um.edu.my/10366/1/Outlier_evaluation_for_the_bilinear_time_series_model.pdf http://eprints.um.edu.my/10366/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1831448034940026880 |
|---|---|
| author | Mohamed, I.B. Ismail, M.I. |
| author_facet | Mohamed, I.B. Ismail, M.I. |
| author_sort | Mohamed, I.B. |
| building | UM Library |
| collection | Institutional Repository |
| content_provider | Universiti Malaya |
| content_source | UM Research Repository |
| continent | Asia |
| country | Malaysia |
| description | The problem of detecting an outlier and then identifying its type for bilinear time series data is studied. The e®ects of temporary change type of outlier on the observations and residuals for general bilinear processes are considered and the corresponding least-squares measure of the decision threshold is proposed. Due to the complexity of the statistics, we use a bootstrapping method to estimate the mean and standard deviation of the threshold statistics. We look at the ability of the proposed procedure to correctly detect temporary change type of outlier when compared to additive outlier and innovational outlier procedures developed in previous studies. The performances of three bootstrap-based procedures are investigated through simulation studies and shown to be good. |
| format | Conference or Workshop Item |
| id | my.um.eprints-10366 |
| institution | Universiti Malaya |
| language | en |
| publishDate | 2008 |
| record_format | eprints |
| spelling | my.um.eprints-103662014-10-28T05:59:12Z http://eprints.um.edu.my/10366/ Outlier evaluation for the bilinear time series model. Mohamed, I.B. Ismail, M.I. QA Mathematics The problem of detecting an outlier and then identifying its type for bilinear time series data is studied. The e®ects of temporary change type of outlier on the observations and residuals for general bilinear processes are considered and the corresponding least-squares measure of the decision threshold is proposed. Due to the complexity of the statistics, we use a bootstrapping method to estimate the mean and standard deviation of the threshold statistics. We look at the ability of the proposed procedure to correctly detect temporary change type of outlier when compared to additive outlier and innovational outlier procedures developed in previous studies. The performances of three bootstrap-based procedures are investigated through simulation studies and shown to be good. 2008 Conference or Workshop Item PeerReviewed application/pdf en http://eprints.um.edu.my/10366/1/Outlier_evaluation_for_the_bilinear_time_series_model.pdf Mohamed, I.B. and Ismail, M.I. (2008) Outlier evaluation for the bilinear time series model. In: Conference of the Asian Regional Section of the IASC on Computational Statistics and Data Analysis, 5-8 Dec 2008, Yokohama, Japan. (Submitted) |
| spellingShingle | QA Mathematics Mohamed, I.B. Ismail, M.I. Outlier evaluation for the bilinear time series model. |
| title | Outlier evaluation for the bilinear time series model. |
| title_full | Outlier evaluation for the bilinear time series model. |
| title_fullStr | Outlier evaluation for the bilinear time series model. |
| title_full_unstemmed | Outlier evaluation for the bilinear time series model. |
| title_short | Outlier evaluation for the bilinear time series model. |
| title_sort | outlier evaluation for the bilinear time series model. |
| topic | QA Mathematics |
| url | http://eprints.um.edu.my/10366/1/Outlier_evaluation_for_the_bilinear_time_series_model.pdf http://eprints.um.edu.my/10366/ |
| url_provider | http://eprints.um.edu.my/ |