Solution of the Likelihood Equation System on Generalized Inverse Gaussian Distribution Parameter Estimation with Newton-Raphson Method
Tulus Joseph Herianto, Adler Haymans Manurung · Journal of Mathematics Technology and Education. · 2023
This study aims to solve the likelihood equation resulting from the estimation ofthe generalized inverse Gaussian distribution parameter estimation. The likelihood equationresulting from the estimation of the generalized inverse Gaussian distribution parameter cannot be solved analytically. The equation cannot be solved because the resulting equation is non linear. So, the Newton-Raphson method was chosen as the right method to be able tosolve the equation. The results obtained from the estimation of the generalized inverse Gaussian distribution parameters with the maximum likelihood method on the stock price data of PT. Borneo Olah Sarana Sukses Tbk in 2018-2021 are yaitu ω = 6,3038 and η = 893,9423. Furthermore, obtained the generalized inverse Gaussian distribution properties on the stock price data of PT. Borneo Olah Sarana Sukses Tbk in 2018-2021 are the mean = 893,9423, mode = 706.186721, and variance = 126770,017.