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All Journal Media Statistika Matematika: Jurnal Teori dan Terapan CAUCHY: Jurnal Matematika Murni dan Aplikasi TELKOMNIKA (Telecommunication Computing Electronics and Control) BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) Jurnal Cendekia : Jurnal Pendidikan Matematika International Journal of Supply Chain Management Jambura Journal of Mathematics ComTech: Computer, Mathematics and Engineering Applications Kumawula: Jurnal Pengabdian Kepada Masyarakat BERNAS: Jurnal Pengabdian Kepada Masyarakat International Journal of Research in Community Services Operations Research: International Conference Series International Journal of Global Operations Research International Journal of Quantitative Research and Modeling SisInfo : Jurnal Sistem Informasi dan Informatika Jurnal Matematika Integratif In Search (Informatic, Science, Entrepreneur, Applied Art, Research, Humanism)
Herlina Napitupulu
Departemen Matematika, Fakultas Matematika Dan Ilmu Pengetahuan Alam, Universitas Padjadjaran
Religion Agriculture, Biological Sciences & Forestry Arts Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Dentistry Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Mathematics Mechanical Engineering Neuroscience Nursing Physics Public Health Social Sciences Transportation Veterinary Other

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COMPARATIVE ANALYSIS OF TIME SERIES FORECASTING MODELS USING ARIMA AND NEURAL NETWORK AUTOREGRESSION METHODS Melina, Melina; Sukono, Sukono; Napitupulu, Herlina; Mohamed, Norizan; Chrisnanto, Yulison Herry; Hadiana, Asep ID; Kusumaningtyas, Valentina Adimurti; Nabilla, Ulya
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 4 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss4pp2563-2576

Abstract

Gold price fluctuations have a significant impact because gold is a haven asset. When financial markets are volatile, investors tend to turn to safer instruments such as gold, so gold price forecasting becomes important in economic uncertainty. The novelty of this research is the comparative analysis of time series forecasting models using ARIMA and the NNAR methods to predict gold price movements specifically applied to gold price data with non-stationary and non-linear characteristics. The aim is to identify the strengths and limitations of ARIMA and NNAR on such data. ARIMA can only be applied to time series data that are already stationary or have been converted to stationary form through differentiation. However, ARIMA may struggle to capture complex non-linear patterns in non-stationary data. Instead, NNAR can handle non-stationary data more effectively by modeling the complex non-linear relationships between input and output variables. In the NNAR model, the lag values of the time series are used as input variables for the neural network. The dataset used is the closing price of gold with 1449 periods from January 2, 2018, to October 5, 2023. The augmented Dickey-Fuller test dataset obtained a p-value = 0.6746, meaning the data is not stationary. The ARIMA(1, 1, 1) model was selected as the gold price forecasting model and outperformed other candidate ARIMA models based on parameter identification and model diagnosis tests. Model performance is evaluated based on the RMSE and MAE values. In this study, the ARIMA(1, 1, 1) model obtained RMSE = 16.20431 and MAE = 11.13958. The NNAR(1, 10) model produces RMSE = 16.10002 and MAE = 11.09360. Based on the RMSE and MAE values, the NNAR(1, 10) model produces better accuracy than the ARIMA(1, 1, 1) model.
DETERMINATION OF INSURANCE PREMIUMS FOR CHILI PLANTATION USING THE BLACK-SCHOLES MODEL WITH CLAYTON COPULA APPROACH Sutisna, Sarah; Sukono, Sukono; Napitupulu, Herlina
MEDIA STATISTIKA Vol 18, No 1 (2025): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.18.1.13-24

Abstract

Agriculture is a vulnerable sector to the risk of crop damage due to climate change and other environmental factors. One source of risk in agriculture is rainfall, which significantly affects productivity and farmers’ income. Traditional insurance premium calculations often rely on assumptions of normal distribution and linear dependency, which may not accurately capture the complex and non-linear relationships between climatic and agricultural variables. This research presents a novel contribution to agricultural risk management by applying the Clayton Copula to model the dependency structure between rainfall and chili crop production output in the context of crop insurance pricing. The estimation of Copula parameters was conducted using Maximum Likelihood Estimation, yielding a parameter θ value of -0.1252, which indicates the dependency structure between the variables. The predictive accuracy of the Copula Clayton model was evaluated using the Mean Absolute Error, with a result of 0.01291, demonstrating strong relevance in describing the dependency between precipitation and yield. Furthermore, the research integrates the Copula-based rainfall modeling with the Black-Scholes model for determining insurance premiums. The findings reveal that premium prices depend on rainfall index values, where higher rainfall percentages correspond to higher premium costs.
Co-Authors Adi Suripto, Adi Agus Santoso Aisyah, Ranti Rivani Albert Raja Harungguan Alit Kartiwa Alit Kartiwa Ariesandy, Sena Asep K. Supriatna Betty Subartini Diah Chaerani Dwi Purnomo Dwi Susanti Edi Kurniadi Edi Kurniadi Edi Kurniadi Ema Carnia Eman Lesmana Erwin Harahap Ewen Hokijuliandy Fauziyah, Wida Nurul Febrianty, Popy Firdaniza Firdaniza Firdaus, Hamidah 'Alina Ghazali, Puspa Liza Hadiana, Asep Id Helma Syifa Izzadiana Hidayana, Rizki Apriva Ida Widianingsih Ira Sumiati Ismail Bin Mohd Jeane R. M. D. P Chantique Julita Nahar, Julita Kusumaningtyas, Valentina Adimurti Melina Melina Melina Melina, Melina Michael Lim Michelle Selina Buntara Muhammad Deni Johansyah Muhammad Helambang Prakasa Yudha Muhammad Ribhan Hadiyan Nabilla, Ulya Norizan Mohamed Novitasari, Ela Nursanti Anggriani Nurul Gusriani Nurul Gusriani, Nurul Rahmadini, Nurhaliza Rayyan Al Muddatstsir Fasa Riaman Riaman Ridwan Pandiya Saprilian Hidayat Saputra, Jumadil Satyaputra, Ida Bagus Wira Krishna Siti Aizal Yasni Ellena Sudrajat Supian Sukono . Supian, Sudradjat Supian, Sudrajat Sutisna, Sarah Valentina Adimurti Kusumaningtyas Valerie ​Valerie Valerie ​Valerie Viona Prisyella Balqis Viona Prisyella Balqis Wida Nurul Fauziyah Yosza Dasril Yudha, Muhammad Helambang Prakasa Yulison Herry Chrisnanto Yuyun Hidayat