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Type :thesis
Subject :Q Science
Main Author :Khek, Shi Ling
Title :The comparison between maximum likelihood estimation and Bayesian method: fitting to finite mixture model
Place of Production :Tanjong Malim
Publisher :Fakulti Sains dan Matematik
Year of Publication :2022
Corporate Name :Universiti Pendidikan Sultan Idris
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Abstract : Universiti Pendidikan Sultan Idris
In the era of Big Data, statistical modelling plays important role in handling a prodigious flow of datasets. The existing literatures regarding the performance of maximum likelihood estimation and Bayesian method that fit with finite mixture model in time series modelling is still lacking. The main objective of this study was to compare the maximum likelihood estimation and Bayesian method in fitting with finite mixture model and determine the plausible method in analysing time series data. Also, this study aimed to identify the number of components and the representation existed in time series data. Additionally, this study also evaluated and modelled the exchange rate, inflation rate, electrical and electronic export values in Malaysia, Thailand and the Philippines using both methods that fit to finite mixture model. The finite mixture model is an unsupervised learning model that can fit with all types of distributions and hence modelling a variety of data. In this study, maximum likelihood estimation and Bayesian method were adapted with finite mixture model to investigate the relationship between sampled variables as both methods are well-known parameter estimation method used in large sample study. As a result, the two components mixture model obtained in sampled variables. Both approaches revealed that a negative relationship presented between exchange rate with electrical and electronic export prices. Besides that, a positive relationship exhibited between inflation rate with electrical and electronic export prices. For exchange rate and inflation rate, negative relationship occurred in the normal situation while no relationship existed in crisis period. In conclusion, both methods provided almost similar results but maximum likelihood estimation performed better than the Bayesian method. As an implication, the efficiency of statistical method, importance of components’ representations and statistical modelling highlighted in this study can be a guideline to statisticians who are interested in the similar field.

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