Cover Image

The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board

The commonly used Maximum Likelihood Estimator (MLE) to estimate the parameters of a time series model requires that the process is normally distributed. However, in real situations, many processes are not normal and have a heavy tail distribution. Hence, the aim of this study is to propose using a...

Full description

Saved in:
Bibliographic Details
Main Authors: Midi, Habshah, Zamzuri, Zamira Hasanah
Format: Article
Language:English
Published: Asian Network for Scientific Information 2010
Online Access:http://psasir.upm.edu.my/id/eprint/17259/1/The%20performance%20of%20bootstrapping%20autoregressive%20AR.pdf
http://psasir.upm.edu.my/id/eprint/17259/
https://scialert.net/abstract/?doi=jas.2010.2101.2107
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.upm.eprints.17259
record_format eprints
spelling my.upm.eprints.172592019-10-02T06:23:01Z http://psasir.upm.edu.my/id/eprint/17259/ The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board Midi, Habshah Zamzuri, Zamira Hasanah The commonly used Maximum Likelihood Estimator (MLE) to estimate the parameters of a time series model requires that the process is normally distributed. However, in real situations, many processes are not normal and have a heavy tail distribution. Hence, the aim of this study is to propose using a distribution free bootstrap method for parameter estimations, when the assumption of normality is not met. The performance of the Bootstrap Estimates (BE) and the MLE estimates of the AR (9) process were then investigated using the Malaysian Opening Price for Second Board data and simulation study. The empirical results indicate that the BE is reasonably close to the MLE estimates, hence, can be established as one reliable alternative approach to the MLE estimates. Asian Network for Scientific Information 2010 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/17259/1/The%20performance%20of%20bootstrapping%20autoregressive%20AR.pdf Midi, Habshah and Zamzuri, Zamira Hasanah (2010) The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board. Journal of Applied Sciences, 10 (18). pp. 2101-2107. ISSN 1812-5654; ESSN: 1812-5662 https://scialert.net/abstract/?doi=jas.2010.2101.2107 10.3923/jas.2010.2101.2107
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description The commonly used Maximum Likelihood Estimator (MLE) to estimate the parameters of a time series model requires that the process is normally distributed. However, in real situations, many processes are not normal and have a heavy tail distribution. Hence, the aim of this study is to propose using a distribution free bootstrap method for parameter estimations, when the assumption of normality is not met. The performance of the Bootstrap Estimates (BE) and the MLE estimates of the AR (9) process were then investigated using the Malaysian Opening Price for Second Board data and simulation study. The empirical results indicate that the BE is reasonably close to the MLE estimates, hence, can be established as one reliable alternative approach to the MLE estimates.
format Article
author Midi, Habshah
Zamzuri, Zamira Hasanah
spellingShingle Midi, Habshah
Zamzuri, Zamira Hasanah
The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board
author_facet Midi, Habshah
Zamzuri, Zamira Hasanah
author_sort Midi, Habshah
title The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board
title_short The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board
title_full The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board
title_fullStr The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board
title_full_unstemmed The performance of bootstrapping autoregressive AR(9) process on the Malaysian opening price for second board
title_sort performance of bootstrapping autoregressive ar(9) process on the malaysian opening price for second board
publisher Asian Network for Scientific Information
publishDate 2010
url http://psasir.upm.edu.my/id/eprint/17259/1/The%20performance%20of%20bootstrapping%20autoregressive%20AR.pdf
http://psasir.upm.edu.my/id/eprint/17259/
https://scialert.net/abstract/?doi=jas.2010.2101.2107
_version_ 1648738080395362304
score 13.211869

Similar Items