### 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 language | English |
---|---|

Pages (from-to) | 67-70 |

Number of pages | 4 |

Journal | WSEAS Transactions on Mathematics |

Volume | 7 |

Issue number | 2 |

Publication status | Published - Feb 2008 |

### Fingerprint

### 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

*WSEAS Transactions on Mathematics*,

*7*(2), 67-70.

**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.

Research output: Contribution to journal › Article

*WSEAS Transactions on Mathematics*, vol. 7, no. 2, pp. 67-70.

}

TY - JOUR

T1 - An evaluation of test statistics for detecting level change in BL(1,1,1,1,) models

AU - Zaharim, Azami

AU - Mohamed, Ibrahim

AU - Abdullah, Shahrum

AU - Sahar Yahya, Mohd

PY - 2008/2

Y1 - 2008/2

N2 - 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.

AB - 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.

KW - Bilinear process

KW - Level change

KW - Outlier detection procedure

KW - Outlier test statistics

KW - Sampling properties

UR - http://www.scopus.com/inward/record.url?scp=48849108172&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=48849108172&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:48849108172

VL - 7

SP - 67

EP - 70

JO - WSEAS Transactions on Mathematics

JF - WSEAS Transactions on Mathematics

SN - 1109-2769

IS - 2

ER -