Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data

An accurate analysis of financial data is vital to justify sustainability for investment potential in a company. Weibull distributions can be used to examine investment behaviour due to their flexibility to be transformed into other types of distribution. However, the selection of the most suitab...

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Main Author:	Hamza, Abubakar
Format:	Thesis
Language:	English
Published:	2023
Subjects:	QA1 Mathematics (General)
Online Access:	http://eprints.usm.my/61251/1/24%20Pages%20from%20ABUBAKAR%20HAMZA.pdf
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spelling	my-usm-ep.612512024-10-08T07:11:14Z Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data 2023-03 Hamza, Abubakar QA1 Mathematics (General) An accurate analysis of financial data is vital to justify sustainability for investment potential in a company. Weibull distributions can be used to examine investment behaviour due to their flexibility to be transformed into other types of distribution. However, the selection of the most suitable estimators is still a challenging task. The present study proposes a simulated annealing algorithm (SA) in estimating the parameters of Weibull distribution with application to modified internal rate of return data (MIRR).The objective is to examine the investment potential of the shari’ah compliance companies of the Malaysia property sector (MPS). The MIRR were computed based on the data extracted from the companies’ financial reports from 2010 to 2018. The performance of the SA algorithm has been explored in terms of accuracies and estimation errors. The finding reveals that the Weibull distribution is well-suited to describing the investment behaviour of the MPS based on the estimates via the SA algorithm. Therefore, purchasing shares in this sector is very attractive for a long-term investment period, but may have a high risk of committing it as a result of fluctuations in the mean and variance of the estimate. Additionally, the two-parameter Weibull distribution has been extended by incorporating additional parameters to capture the uncertainty behaviour in the financial data. 2023-03 Thesis http://eprints.usm.my/61251/ http://eprints.usm.my/61251/1/24%20Pages%20from%20ABUBAKAR%20HAMZA.pdf application/pdf en public phd doctoral Perpustakaan Hamzah Sendut Pusat Pengajian Sains Matematik
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	QA1 Mathematics (General)
spellingShingle	QA1 Mathematics (General) Hamza, Abubakar Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
description	An accurate analysis of financial data is vital to justify sustainability for investment potential in a company. Weibull distributions can be used to examine investment behaviour due to their flexibility to be transformed into other types of distribution. However, the selection of the most suitable estimators is still a challenging task. The present study proposes a simulated annealing algorithm (SA) in estimating the parameters of Weibull distribution with application to modified internal rate of return data (MIRR).The objective is to examine the investment potential of the shari’ah compliance companies of the Malaysia property sector (MPS). The MIRR were computed based on the data extracted from the companies’ financial reports from 2010 to 2018. The performance of the SA algorithm has been explored in terms of accuracies and estimation errors. The finding reveals that the Weibull distribution is well-suited to describing the investment behaviour of the MPS based on the estimates via the SA algorithm. Therefore, purchasing shares in this sector is very attractive for a long-term investment period, but may have a high risk of committing it as a result of fluctuations in the mean and variance of the estimate. Additionally, the two-parameter Weibull distribution has been extended by incorporating additional parameters to capture the uncertainty behaviour in the financial data.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Hamza, Abubakar
author_facet	Hamza, Abubakar
author_sort	Hamza, Abubakar
title	Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_short	Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_full	Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_fullStr	Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_full_unstemmed	Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data
title_sort	estimation of weibull parameters using simulated annealing as applied in financial data
granting_institution	Perpustakaan Hamzah Sendut
granting_department	Pusat Pengajian Sains Matematik
publishDate	2023
url	http://eprints.usm.my/61251/1/24%20Pages%20from%20ABUBAKAR%20HAMZA.pdf
_version_	1818647378148720640

Estimation Of Weibull Parameters Using Simulated Annealing As Applied In Financial Data

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