Finite mixture model: a comparison method for nonlinear time series data

DOI10.1504/IJCSM.2016.078684zbMath1453.62709OpenAlexW2517797122MaRDI QIDQ2224121

Seuk Yen Phoong, Rosmanjawati Binti Abdul Rahman, Seuk Wai Phoong, Mohd Tahir Ismail

Publication date: 3 February 2021

Published in: International Journal of Computing Science and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijcsm.2016.078684

zbMATH Keywords

modellingmaximum likelihood estimationBayesian methodMLEfinite mixture modelexchange ratesdeveloping countriesstock pricesstructural changesThailandglobal financial crisisMalaysiaAsiafinance collapseIndonesianonlinear time series dataPhilippines

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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