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Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data

An accurate analysis of financial data is vital to justify sustainability for investment potential in a company. Weibull distributions can be used to examine investment behaviour due to their flexibility to be transformed into other types of distribution. However, the selection of the most suitab...

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Main Author: Hamza, Abubakar
Format: Thesis
Language:English
Published: 2023
Subjects:
QA1 Mathematics (General)
Online Access:http://eprints.usm.my/61251/1/24%20Pages%20from%20ABUBAKAR%20HAMZA.pdf
http://eprints.usm.my/61251/
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spelling my.usm.eprints.61251 http://eprints.usm.my/61251/ Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data Hamza, Abubakar QA1 Mathematics (General) An accurate analysis of financial data is vital to justify sustainability for investment potential in a company. Weibull distributions can be used to examine investment behaviour due to their flexibility to be transformed into other types of distribution. However, the selection of the most suitable estimators is still a challenging task. The present study proposes a simulated annealing algorithm (SA) in estimating the parameters of Weibull distribution with application to modified internal rate of return data (MIRR).The objective is to examine the investment potential of the shari’ah compliance companies of the Malaysia property sector (MPS). The MIRR were computed based on the data extracted from the companies’ financial reports from 2010 to 2018. The performance of the SA algorithm has been explored in terms of accuracies and estimation errors. The finding reveals that the Weibull distribution is well-suited to describing the investment behaviour of the MPS based on the estimates via the SA algorithm. Therefore, purchasing shares in this sector is very attractive for a long-term investment period, but may have a high risk of committing it as a result of fluctuations in the mean and variance of the estimate. Additionally, the two-parameter Weibull distribution has been extended by incorporating additional parameters to capture the uncertainty behaviour in the financial data. 2023-03 Thesis NonPeerReviewed application/pdf en http://eprints.usm.my/61251/1/24%20Pages%20from%20ABUBAKAR%20HAMZA.pdf Hamza, Abubakar (2023) Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data. PhD thesis, Perpustakaan Hamzah Sendut.
institution Universiti Sains Malaysia
building Hamzah Sendut Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Sains Malaysia
content_source USM Institutional Repository
url_provider http://eprints.usm.my/
language English
topic QA1 Mathematics (General)
spellingShingle QA1 Mathematics (General)
Hamza, Abubakar
Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
description An accurate analysis of financial data is vital to justify sustainability for investment potential in a company. Weibull distributions can be used to examine investment behaviour due to their flexibility to be transformed into other types of distribution. However, the selection of the most suitable estimators is still a challenging task. The present study proposes a simulated annealing algorithm (SA) in estimating the parameters of Weibull distribution with application to modified internal rate of return data (MIRR).The objective is to examine the investment potential of the shari’ah compliance companies of the Malaysia property sector (MPS). The MIRR were computed based on the data extracted from the companies’ financial reports from 2010 to 2018. The performance of the SA algorithm has been explored in terms of accuracies and estimation errors. The finding reveals that the Weibull distribution is well-suited to describing the investment behaviour of the MPS based on the estimates via the SA algorithm. Therefore, purchasing shares in this sector is very attractive for a long-term investment period, but may have a high risk of committing it as a result of fluctuations in the mean and variance of the estimate. Additionally, the two-parameter Weibull distribution has been extended by incorporating additional parameters to capture the uncertainty behaviour in the financial data.
format Thesis
author Hamza, Abubakar
author_facet Hamza, Abubakar
author_sort Hamza, Abubakar
title Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_short Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_full Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_fullStr Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_full_unstemmed Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_sort estimation of weibull parameters using simulated annealing as applied in financial data
publishDate 2023
url http://eprints.usm.my/61251/1/24%20Pages%20from%20ABUBAKAR%20HAMZA.pdf
http://eprints.usm.my/61251/
_version_ 1814048427040833536
score 13.211869

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