Simulation study of testing an intervention effect in arima (1,0,0,L,δ) model / Illias Mamat

• Main Author: Mamat, Illias
• Format: Article
• Language: English
• Published: Universiti Teknologi MARA, Pahang 1988
• Subjects: Mathematical statistics. Probabilities; Matrix analytic methods; Sequences (Mathematics)
• Online Access: https://ir.uitm.edu.my/id/eprint/65589/1/65589.PDF; https://ir.uitm.edu.my/id/eprint/65589/
• Institution: Universiti Teknologi Mara

In order to test whether or not the intervention effect, δ which occurs between the pre-time series and the post-time series in an intervention time series model is different from zero, under appropriate assumptions. the t- statistics test suggested by Glass, Wilson, and Gottman (2) may be used. In...