Sains Malaysiana 44(7)(2015): 1033–1039
A
Comparison between Bayesian and Maximum Likelihood Estimations in
Estimating
Finite
Mixture Model for Financial Data
(Perbandingan antara
Bayesian dan Anggaran Kebolehjadian Maksimum dalam Menganggar
Model Campuran Terhingga
untuk Data Kewangan)
SEUK-YEN
PHOONG*
& MOHD TAHIR ISMAIL
School of Mathematical
Sciences, Universiti Sains Malaysia, 11800 Penang, Malaysia
Diserahkan: 22
Mei 2013/Diterima: 5 Februari 2015
ABSTRACT
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.
Keywords: Akaike information
criterion; Bayesian information criterion; Bayesian method; finite
mixture model; maximum likelihood estimation
ABSTRAK
Sejak beberapa tahun, anggaran
kebolehjadian maksimum dan kaedah Bayesian menjadi alat statistik
popular yang sesuai digunakan untuk model campuran terhingga. Trend
ini bermula dengan adanya teknologi komputer sejak sedekad yang
lalu. Selain itu, sifat asimptot bagi kedua-dua kaedah statistik
juga menjadi salah satu daripada faktor utama dalam meningkatkan
populariti kaedah ini. Perbezaan antara kedua-dua kaedah ini adalah
parameter untuk anggaran kebolehjadian maksimum adalah tetap tetapi
tidak diketahui manakala parameter bagi kaedah Bayesian bertindak
sebagai pemboleh ubah rawak dengan taburan yang dikenali sebelum
ini. Dalam kertas ini, kedua-dua anggaran kebolehjadian maksimum
dan kaedah Bayesian digunakan untuk mengkaji hubungan antara kadar
pertukaran wang dan harga getah bagi Malaysia, Thailand, Filipina
dan Indonesia. Untuk mengenal pasti kaedah yang paling munasabah
antara kaedah Bayesian dan anggaran kebolehjadian maksimum untuk
data siri masa, kriteria maklumat Akaike dan kriteria maklumat Bayesian
diguna pakai dalam kertas ini. Kesimpulannya, keputusan menunjukkan
bahawa kaedah Bayesian mempunyai prestasi yang lebih baik daripada
anggaran kebolehjadian maksimum dalam menganalisis data kewangan.
Kata kunci: Anggaran kebolehjadian maksimum; kaedah Bayesian; kriteria
maklumat Akaike; kriteria maklumat Bayesian; model campuran terhingga
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*Pengarang untuk surat-menyurat; email:
yen_phoong@hotmail.com
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