TY  - JOUR
T1  - Relationship Between an Innovative Outlier Model and the Intervention Effects Model
AU - , I.U. Moffat AU - , E.H. Etuk 
JO  - Journal of Engineering and Applied Sciences
VL  - 2
IS  - 6
SP  - 988
EP  - 992
PY  - 2007
DA  - 2001/08/19
SN  - 1816-949x
DO  - jeasci.2007.988.992
UR  - https://makhillpublications.co/view-article.php?doi=jeasci.2007.988.992
KW  - ARMA models
KW  -estimation
KW  -interventions
KW  -Kalman filters
KW  -regression
KW  -state space representation
KW  -outliers
AB  - We present a relationship between an alternative estimation procedure of ARMA models based on an innovative outlier framework and the Kalman Filter Smoothers (KFS) estimation of intervention effects for outliers generated by special events. The intervention model describes how the events manifest themselves in the observations. The results are asymptotically equivalent to the estimation of ARMA parameters based on a generalized t- distribution for the residuals with a mixture interpretation relying on the innovative outlier framework. The joint estimation of the estimators, if considered, supports the normality test of the residuals.
ER  -