Improvement on the innovational outlier detection procedure in a bilinear model

• Main Authors: Mohamed .I.B, Ismail .M.I, Yahya .M.S, Hussin .A.G, Mohamed .N, Zaharim .A, Zainol .M.S
• Format: Article
• Language: English
• Published: Universiti Kebangsaan Malaysia 2011
• Online Access: http://journalarticle.ukm.my/2471/1/16_I.B_Mohamed.pdf; http://journalarticle.ukm.my/2471/; http://www.ukm.my/jsm/
• Institution: Universiti Kebangsaan Malaysia

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...