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Power computations for intervention analysis (2005)
| Venue: | Technometrics |
| Citations: | 3 - 0 self |
BibTeX
@ARTICLE{Mcleod05powercomputations,
author = {A. I. Mcleod and E. R. Vingilis and Department Of Statistical and Actuarial Sciences},
title = {Power computations for intervention analysis},
journal = {Technometrics},
year = {2005},
pages = {174--181}
}
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Abstract
1 In many intervention analysis applications time series data may be expensive or otherwise difficult to collect. In this case the power function is helpful since it can be used to determine the probability that a proposed intervention analysis application will detect a meaningful change. Assuming that an underlying ARIMA or fractional ARIMA model is known or can be estimated from the pre-intervention time series, the methodology for computing the required power function is developed for pulse, step and ramp interventions with ARIMA and fractional ARIMA errors. Convenient formulae for computing the power function for important special cases are given. Illustrative applications in traffic safety and environmental impact assessment are discussed. KEY WORDS: Autocorrelation and lack of statistical independence; ARIMA time series models; Environmental impact assessment; Forecast
Keyphrases
power computation intervention analysis environmental impact assessment power function underlying arima required power function intervention analysis application pre-intervention time series fractional arima model statistical independence illustrative application meaningful change fractional arima error arima time series model traffic safety important special case key word convenient formula
