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

Azami Zaharim, Rafizah Rajali, Raden Mohamad Atok, Ibrahim Mohamed, Khamisah Jafar

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)162-169
Number of pages8
JournalInternational Journal of Mathematical Models and Methods in Applied Sciences
Volume3
Issue number2
Publication statusPublished - 2009

Fingerprint

Additive Outliers
Autoregressive Moving Average
Test Statistic
Statistics
Simulation Study
Model Specification
Increasing Functions
Extreme Values
Model
Outlier
Time series
Sample Size
Sampling
Specifications

Keywords

  • Additive outlier
  • Detection performance of test statistics
  • Sampling behavior of test statistics
  • Simulation

ASJC Scopus subject areas

  • Applied Mathematics
  • Computational Mathematics
  • Mathematical Physics
  • Modelling and Simulation

Cite this

A simulation study of additive outlier in ARMA (1, 1) model. / Zaharim, Azami; Rajali, Rafizah; Atok, Raden Mohamad; Mohamed, Ibrahim; Jafar, Khamisah.

In: International Journal of Mathematical Models and Methods in Applied Sciences, Vol. 3, No. 2, 2009, p. 162-169.

Research output: Contribution to journalArticle

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