Finite mixture model

A maximum likelihood estimation approach on time series data

Phoong Seuk Yen, Mohd Tahir Ismail, Firdaus Mohamad Hamzah

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Recently, statistician emphasized on the fitting of finite mixture model by using maximum likelihood estimation as it provides asymptotic properties. In addition, it shows consistency properties as the sample sizes increases to infinity. This illustrated that maximum likelihood estimation is an unbiased estimator. Moreover, the estimate parameters obtained from the application of maximum likelihood estimation have smallest variance as compared to others statistical method as the sample sizes increases. Thus, maximum likelihood estimation is adopted in this paper to fit the two-component mixture model in order to explore the relationship between rubber price and exchange rate for Malaysia, Thailand, Philippines and Indonesia. Results described that there is a negative effect among rubber price and exchange rate for all selected countries.

Original languageEnglish
Title of host publicationStatistics and Operational Research International Conference, SORIC 2013
PublisherAmerican Institute of Physics Inc.
Pages130-137
Number of pages8
Volume1613
ISBN (Electronic)9780735412491
DOIs
Publication statusPublished - 1 Jan 2014
EventStatistics and Operational Research International Conference, SORIC 2013 - Sarawak, Malaysia
Duration: 3 Dec 20135 Dec 2013

Other

OtherStatistics and Operational Research International Conference, SORIC 2013
CountryMalaysia
CitySarawak
Period3/12/135/12/13

Fingerprint

rubber
Thailand
Malaysia
asymptotic properties
Indonesia
Philippines
estimators
infinity
estimates

Keywords

  • Exchange Rate
  • Finite Mixture Model
  • Maximum Likelihood Estimation
  • Rubber Price

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Yen, P. S., Ismail, M. T., & Mohamad Hamzah, F. (2014). Finite mixture model: A maximum likelihood estimation approach on time series data. In Statistics and Operational Research International Conference, SORIC 2013 (Vol. 1613, pp. 130-137). American Institute of Physics Inc.. https://doi.org/10.1063/1.4894339

Finite mixture model : A maximum likelihood estimation approach on time series data. / Yen, Phoong Seuk; Ismail, Mohd Tahir; Mohamad Hamzah, Firdaus.

Statistics and Operational Research International Conference, SORIC 2013. Vol. 1613 American Institute of Physics Inc., 2014. p. 130-137.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Yen, PS, Ismail, MT & Mohamad Hamzah, F 2014, Finite mixture model: A maximum likelihood estimation approach on time series data. in Statistics and Operational Research International Conference, SORIC 2013. vol. 1613, American Institute of Physics Inc., pp. 130-137, Statistics and Operational Research International Conference, SORIC 2013, Sarawak, Malaysia, 3/12/13. https://doi.org/10.1063/1.4894339
Yen PS, Ismail MT, Mohamad Hamzah F. Finite mixture model: A maximum likelihood estimation approach on time series data. In Statistics and Operational Research International Conference, SORIC 2013. Vol. 1613. American Institute of Physics Inc. 2014. p. 130-137 https://doi.org/10.1063/1.4894339
Yen, Phoong Seuk ; Ismail, Mohd Tahir ; Mohamad Hamzah, Firdaus. / Finite mixture model : A maximum likelihood estimation approach on time series data. Statistics and Operational Research International Conference, SORIC 2013. Vol. 1613 American Institute of Physics Inc., 2014. pp. 130-137
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