Abstract: Ruberti et al. [1972] and Mohler [1973] initiated the idea of bilinear models with applications on control theory. A real in-depth statistical study was started by Granger and Anderson [1978a]. They presented various types of bilinear models and discussed the invertibility and stationarity properties of the models. They also showed that bilinear model performs well compared to linear model when applied to the Wőlfer sunspot data and the IBM daily common stock closing prices as available in Box and Jenkins [1976]. Another interesting feature of bilinear model is the fact that it is merely an extension of the linear ARMA model as well as being a simplified case of nonlinear Volterra series expansions (Weiner [1958]). Most discussion on detection of outliers is for the linear case. As for bilinear model, only Chen [1996] and Zaharim [1996] had explored the area. Chen used the Gibbs sampling method for general bilinear model but only considered one type of outlier only, the additive outlier. On the other hand, Zaharim used the least squares method for simple bilinear model to detect four type of outliers, the additive outlier (AO), innovational outlier (IO), temporary change (TC) and level change (LC). In this article, work by Zaharim [1996] is extended for BL(1,1,1,1). It is shown that the detection procedure performs well in detecting each type of outlier.

 

Brief Biography of the Speaker:
Azami Zaharim worked first 13 years as a lecturer in the Universiti Teknologi MARA (University of MARA Technology - UiTM) before joining the Universiti Kebangsaan Malaysia (National University of Malaysia - UKM) in the year 2003. He is Associate Professor at the Faculty of Engineering and Built Environment UKM, and is currently Coordinator for the Unit Fundamental Engineering Studies. He obtained his BSc(Statistics and Computing) with Honours from North London University, UK in 1988 and PhD (Statistics) in 1996 from University of Newcastle Upon Tyne, UK. He specialize in statistics, public opinion, engineering education and renewable energy resources.
He has until now published over 80 research papers in Journals and conferences, conducted more than 15 public opinion consultancies and delivered 3 keynotes/invited speeches at national and international meetings. He is currently the head of Renewable Energy Resources and Social Impact Research Group under the Solar Energy Research Institute (SERI). In the year 2007, he headed the Engineering Mathematics Research Group. At the same time, he is currently active involve in outcome based education (OBE) approach at the national level and the chairman of the Engineering Education Research Group since 2005. He is also involved actively in the research for the future of engineering education in Malaysia 2006 under the Ministry of Higher Education of Malaysia.