The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 32-699
Full Name: Rafizah Rajali
Position: Student
Age: ON
Sex: Female
Address: National University of Malaysia, 43600 Bangi Selangor
Country: MALAYSIA
Tel: 162418898
Tel prefix: 0060
Fax: -
E-mail address: rafizah_rajali@yahoo.com
Other E-mails: feeza65@yahoo.com,pijot65@yahoo.com
Title of the Paper: a simulation study of innovative outlier in ARMA (1, 1) model
Authors as they appear in the Paper: Azami Zaharim, Rafizah Rajali, Raden Mohamad Atok,Kamarulzaman Ibrahim, Mohammad Said Zainol
Email addresses of all the authors: azami@vlsi.eng.ukm.my, rafizah_rajali@yahoo.com, atok@vlsi.eng.ukm.my, kamarulz@ukm.my, saidzainol@gmail.com
Number of paper pages: 10
Abstract: A discrepant observation associated with innovative outlier often indicates an extraordinary event such as a sudden economic down turn and an outbreak of war. However, the presence of innovative outliers may affect the accuracy of classical model specification. Therefore, accurate detection of innovative outliers is not only crucial to avoid such error but it is also useful to reveal significant events that took placed. Equations that describe the nature of an innovative outlier and derivations of the test statistics are shown at the beginning of this article. Followed by two simulation studies aim to examine the sampling behavior and detection performance of the test statistics in ARMA (1, 1) models. Results obtained from the first simulation study suggest that the test statistics is an increasing function of sample size. In the second simulation study, we see that the detection performance of the test statistics improves with the usage of large magnitudes of out!
lier effect.
Keywords: Key-Words: - Innovative outlier, Sampling behavior of test statistics, Detection performance of test statistics, Simulation
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