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ESTIMASI PARAMETER MODEL MIXTURE AUTOREGRESSIVE (MAR) MENGGUNAKAN ALGORITMA EKSPEKTASI MAKSIMISASI (EM)

Open Access Copyright (c) 2018 MEDIA STATISTIKA under http://creativecommons.org/licenses/by-nc-sa/4.0.

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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

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Last update: 2024-02-25 18:07:16

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