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


Citation

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

Abstract

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.


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Additional Metadata

Item Type: Article
Divisions: Institute for Mathematical Research
DOI Number: https://doi.org/10.3923/jas.2010.2101.2107
Publisher: Asian Network for Scientific Information
Keywords: AR process; Bootstrap estimates; Maximum likelihood estimator; Root mean squared errors; Residual bootstrap
Depositing User: Najwani Amir Sariffudin
Date Deposited: 26 Jun 2012 09:06
Last Modified: 02 Oct 2019 06:23
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.3923/jas.2010.2101.2107
URI: http://psasir.upm.edu.my/id/eprint/17259
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