Authors : Daniel Eni
Abstract: In this study, we developed a method which enables us to estimate both the ARMA (1,1) process and the AR(1) error process for a situation where we suspect, from experience that a set of data which can be fitted by ARMA(1,1) model is corrupted by another set of data following AR(1) process. Simulation studies showed that the method performed very well in isolating the set that can be fitted by ARMA(1,1) model from the set that can be fitted by AR(1) model
Daniel Eni , 2007. Process and Error Isolation for Arma (1,1) Subsumed in AR (1) Process . Journal of Modern Mathematics and Statistics, 1: 24-29.