An evaluation of test statistics for detecting level change in BL(1,1,1,1,) models

Azami Zaharim, Ibrahim Mohamed, Shahrum Abdullah, Mohd Sahar Yahya

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

A study is carried out to investigate the sampling properties of the outlier test statistics of a procedure developed for detecting level change in BL(1,1,1,1) processes. It is done with respect to the sample size, the type of outlier and the size of the coefficients of the BL(1,1,1,1) process. The results show that, in general, the outlier detection procedure is capable of detecting level change, although the performance is affected if ω is large.

Original languageEnglish
Pages (from-to)67-70
Number of pages4
JournalWSEAS Transactions on Mathematics
Volume7
Issue number2
Publication statusPublished - Feb 2008

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Outlier
Test Statistic
Statistics
Sampling
Outlier Detection
Evaluation
Sample Size
Coefficient
Model
Outliers
Test statistic
Outlier detection
Sample size
Coefficients

Keywords

  • Bilinear process
  • Level change
  • Outlier detection procedure
  • Outlier test statistics
  • Sampling properties

ASJC Scopus subject areas

  • Mathematics (miscellaneous)
  • Computational Mathematics
  • Computer Science (miscellaneous)

Cite this

An evaluation of test statistics for detecting level change in BL(1,1,1,1,) models. / Zaharim, Azami; Mohamed, Ibrahim; Abdullah, Shahrum; Sahar Yahya, Mohd.

In: WSEAS Transactions on Mathematics, Vol. 7, No. 2, 02.2008, p. 67-70.

Research output: Contribution to journalArticle

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