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Mika Asrini
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ESTIMASI PARAMETER MODEL MIXTURE AUTOREGRESSIVE (MAR) MENGGUNAKAN ALGORITMA EKSPEKTASI MAKSIMISASI (EM) Asrini, Mika; Sulandari, Winita; Wiyono, Santoso Budi
MEDIA STATISTIKA Vol 6, No 1 (2013): Media Statistika
Publisher : Jurusan Statistika FSM Undip

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (268.444 KB) | DOI: 10.14710/medstat.6.1.21-26

Abstract

Mixture autoregressive (MAR) Model is a mixture of Gaussian autoregressive (AR) components. The mixture model is capable for modelling of nonlinear time series with multimodal conditional distributions. This paper discusses about the parameters estimation using EM algorithm. All possible models are then applied to national maize production data. In this case, the BIC is used for the MAR model selection. Keywords : Mixture Autoregressive, EM Algorithm, BIC, Maize Production