A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data

Over the years, maximum likelihood estimation and Bayesian method became popular statistical tools in which applied to fit finite mixture model. These trends begin with the advent of computer technology during the last decades. Moreover, the asymptotic properties for both statistical methods also ac...

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Main Authors:	Seuk, Yen Phoong, Mohd Tahir Ismail
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2015
Online Access:	http://journalarticle.ukm.my/8989/ http://journalarticle.ukm.my/8989/ http://journalarticle.ukm.my/8989/1/16_Seuk-Yen_Phoong.pdf

id	ukm-8989
recordtype	eprints
spelling	ukm-89892016-12-14T06:48:38Z http://journalarticle.ukm.my/8989/ A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data Seuk, Yen Phoong Mohd Tahir Ismail, Over the years, maximum likelihood estimation and Bayesian method became popular statistical tools in which applied to fit finite mixture model. These trends begin with the advent of computer technology during the last decades. Moreover, the asymptotic properties for both statistical methods also act as one of the main reasons that boost the popularity of the methods. The difference between these two approaches is that the parameters for maximum likelihood estimation are fixed, but unknown meanwhile the parameters for Bayesian method act as random variables with known prior distributions. In the present paper, both the maximum likelihood estimation and Bayesian method are applied to investigate the relationship between exchange rate and the rubber price for Malaysia, Thailand, Philippines and Indonesia. In order to identify the most plausible method between Bayesian method and maximum likelihood estimation of time series data, Akaike Information Criterion and Bayesian Information Criterion are adopted in this paper. The result depicts that the Bayesian method performs better than maximum likelihood estimation on financial data. Universiti Kebangsaan Malaysia 2015-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8989/1/16_Seuk-Yen_Phoong.pdf Seuk, Yen Phoong and Mohd Tahir Ismail, (2015) A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data. Sains Malaysiana, 44 (7). pp. 1033-1039. ISSN 0126-6039 http://www.ukm.my/jsm/malay_journals/jilid44bil7_2015/KandunganJilid44Bil7_2015.html
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	Over the years, maximum likelihood estimation and Bayesian method became popular statistical tools in which applied to fit finite mixture model. These trends begin with the advent of computer technology during the last decades. Moreover, the asymptotic properties for both statistical methods also act as one of the main reasons that boost the popularity of the methods. The difference between these two approaches is that the parameters for maximum likelihood estimation are fixed, but unknown meanwhile the parameters for Bayesian method act as random variables with known prior distributions. In the present paper, both the maximum likelihood estimation and Bayesian method are applied to investigate the relationship between exchange rate and the rubber price for Malaysia, Thailand, Philippines and Indonesia. In order to identify the most plausible method between Bayesian method and maximum likelihood estimation of time series data, Akaike Information Criterion and Bayesian Information Criterion are adopted in this paper. The result depicts that the Bayesian method performs better than maximum likelihood estimation on financial data.
format	Article
author	Seuk, Yen Phoong Mohd Tahir Ismail,
spellingShingle	Seuk, Yen Phoong Mohd Tahir Ismail, A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data
author_facet	Seuk, Yen Phoong Mohd Tahir Ismail,
author_sort	Seuk, Yen Phoong
title	A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data
title_short	A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data
title_full	A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data
title_fullStr	A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data
title_full_unstemmed	A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data
title_sort	comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data
publisher	Universiti Kebangsaan Malaysia
publishDate	2015
url	http://journalarticle.ukm.my/8989/ http://journalarticle.ukm.my/8989/ http://journalarticle.ukm.my/8989/1/16_Seuk-Yen_Phoong.pdf
first_indexed	2023-09-18T19:53:42Z
last_indexed	2023-09-18T19:53:42Z
_version_	1777406388550500352

A comparison between bayesian and maximum likelihood estimations in estimating finite mixture model for financial data

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