Improvement on the innovational outlier detection procedure in a bilinear model
This paper considers the problem of outlier detection in bilinear time series data with special focus on BL(1,0,1,1) and BL(1,1,1,1) models. In the previous study, the formulations of effect of innovational outlier on the observations and residuals from the process had been developed and the corresp...
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Universiti Kebangsaan Malaysia
2011
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| Online Access: | http://journalarticle.ukm.my/2471/ http://journalarticle.ukm.my/2471/ http://journalarticle.ukm.my/2471/1/16_I.B_Mohamed.pdf |
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ukm-24712016-12-14T06:31:43Z http://journalarticle.ukm.my/2471/ Improvement on the innovational outlier detection procedure in a bilinear model Mohamed .I.B, Ismail .M.I, Yahya .M.S, Hussin .A.G, Mohamed .N, Zaharim .A, Zainol .M.S, This paper considers the problem of outlier detection in bilinear time series data with special focus on BL(1,0,1,1) and BL(1,1,1,1) models. In the previous study, the formulations of effect of innovational outlier on the observations and residuals from the process had been developed and the corresponding least squares estimator of outlier effect had been derived. Consequently, an outlier detection procedure employing bootstrap-based procedure to estimate the variance of the estimator had been proposed. In this paper, we proposed to use the mean absolute deviance and trimmed mean formula to estimate the variance to improve the performances of the procedure. Via simulation, we showed that the procedure based on the trimmed mean formula has successfully improved the performance of the procedure. Universiti Kebangsaan Malaysia 2011-02 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/2471/1/16_I.B_Mohamed.pdf Mohamed .I.B, and Ismail .M.I, and Yahya .M.S, and Hussin .A.G, and Mohamed .N, and Zaharim .A, and Zainol .M.S, (2011) Improvement on the innovational outlier detection procedure in a bilinear model. Sains Malaysiana, 40 (2). pp. 191-196. ISSN 0126-6039 http://www.ukm.my/jsm/ |
| repository_type |
Digital Repository |
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Local University |
| institution |
Universiti Kebangasaan Malaysia |
| building |
UKM Institutional Repository |
| collection |
Online Access |
| language |
English |
| description |
This paper considers the problem of outlier detection in bilinear time series data with special focus on BL(1,0,1,1) and BL(1,1,1,1) models. In the previous study, the formulations of effect of innovational outlier on the observations and residuals from the process had been developed and the corresponding least squares estimator of outlier effect had been derived. Consequently, an outlier detection procedure employing bootstrap-based procedure to estimate the variance of the estimator had been proposed. In this paper, we proposed to use the mean absolute deviance and trimmed mean formula to estimate the variance to improve the performances of the procedure. Via simulation, we showed that the procedure based on the trimmed mean formula has successfully improved the performance of the procedure. |
| format |
Article |
| author |
Mohamed .I.B, Ismail .M.I, Yahya .M.S, Hussin .A.G, Mohamed .N, Zaharim .A, Zainol .M.S, |
| spellingShingle |
Mohamed .I.B, Ismail .M.I, Yahya .M.S, Hussin .A.G, Mohamed .N, Zaharim .A, Zainol .M.S, Improvement on the innovational outlier detection procedure in a bilinear model |
| author_facet |
Mohamed .I.B, Ismail .M.I, Yahya .M.S, Hussin .A.G, Mohamed .N, Zaharim .A, Zainol .M.S, |
| author_sort |
Mohamed .I.B, |
| title |
Improvement on the innovational outlier detection procedure in a bilinear model |
| title_short |
Improvement on the innovational outlier detection procedure in a bilinear model |
| title_full |
Improvement on the innovational outlier detection procedure in a bilinear model |
| title_fullStr |
Improvement on the innovational outlier detection procedure in a bilinear model |
| title_full_unstemmed |
Improvement on the innovational outlier detection procedure in a bilinear model |
| title_sort |
improvement on the innovational outlier detection procedure in a bilinear model |
| publisher |
Universiti Kebangsaan Malaysia |
| publishDate |
2011 |
| url |
http://journalarticle.ukm.my/2471/ http://journalarticle.ukm.my/2471/ http://journalarticle.ukm.my/2471/1/16_I.B_Mohamed.pdf |
| first_indexed |
2023-09-18T19:36:09Z |
| last_indexed |
2023-09-18T19:36:09Z |
| _version_ |
1777405283870441472 |