Power Computations for Intervention Analysis

In many intervention analysis applications, time series data may be expensive or otherwise difficult to collect. In this case the power function is helpful, because it can be used to determine the probability that a proposed intervention analysis application will detect a meaningful change. Assuming that an underlying autoregressive integrated moving average (ARIMA) or fractional ARIMA model is known or can be estimated from the preintervention 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 formulas for computing the power function for important special cases are given. Illustrative applications in traffic safety and environmental impact assessment are discussed.