Subscribe Now Subscribe Today
Science Alert
 
FOLLOW US:     Facebook     Twitter
Blue
   
Curve Top
Journal of Applied Sciences
  Year: 2010 | Volume: 10 | Issue: 18 | Page No.: 2101-2107
DOI: 10.3923/jas.2010.2101.2107
 
Facebook Twitter Digg Reddit Linkedin StumbleUpon E-mail
The Performance of Bootstrapping Autoregressive AR (9) Process on the Malaysian Opening Price for Second Board
H. Midi and Z.H. Zamzuri

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.
PDF Fulltext XML References Citation Report Citation
How to cite this article:

H. Midi and Z.H. Zamzuri, 2010. The Performance of Bootstrapping Autoregressive AR (9) Process on the Malaysian Opening Price for Second Board. Journal of Applied Sciences, 10: 2101-2107.

DOI: 10.3923/jas.2010.2101.2107

URL: https://scialert.net/abstract/?doi=jas.2010.2101.2107

 
COMMENT ON THIS PAPER
 
 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 

       

       

Curve Bottom