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All Journal ARRUS Journal of Engineering and Technology VARIANSI: Journal of Statistics and Its Application on Teaching and Research ARRUS Jurnal Pengabdian Kepada Masyarakat
Utomo, Agung Tri
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Electrical & Electronics Engineering Engineering Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Library & Information Science Mathematics Public Health Social Sciences Other

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Analisis Ridge Robust Penduga Generalized M (GM) Pada Pemodelan Kalibrasi Untuk Kadar Gula Darah Agung Tri Utomo; Erfiani, Erfiani; Fitrianto, Anwar
VARIANSI: Journal of Statistics and Its application on Teaching and Research Vol. 4 No. 2 (2022)
Publisher : Program Studi Statistika Fakultas MIPA UNM

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (384.666 KB) | DOI: 10.35580/variansiunm14

Abstract

Calibration modeling is one of the methods used to analyze the relationship between different methods. The relationship is like the relationship between invasive and non-invasive blood sugar measurement. Problems that often arise in calibration modeling are multicollinearity and outliers. Multicollinearity problems can cause the regression confidence interval to widen, so that there is no statistically significant regression coefficient. Outliers cause statistical tests to deviate. The handling of these problems can be solved by robust ridge analysis. Ridge robust is a combined analysis of ridge regression and robust regression. Ridge regression is able to overcome the problem of multicollinearity and robust regression can overcome the problem of outliers. The estimator used is Generalized M (GM). This method will be applied to a calibration model that uses invasive and non-invasive blood sugar level data. The model used with Generalized M (GM) estimator robust regression using modulation clusters 50 to 90 in 2017 is better than the modulation group 50. up to 90 in 2019. The statistical values obtained are SSE of 0.910, RMSEadj of 0.114, and RMSEP of 0.030. Calibration models that have outliers and multicollinearity problems can be overcome by robust ridge regression. The feasibility value of the model obtained in the GM estimator robust regression is smaller than the MM estimator ridge robust regression in the calibration modeling for non-invasive blood sugar level data. That is, the best model that can be used is the robust ridge regression GM estimator.
TSA App by R Shiny : Time Series Analysis Application for Univariate Series Data Tri Utomo, Agung; Ahmar, Ansari Saleh; Aidid, Muhammad Kasim; Rais, Zulkifli; Alfairus, Muh. Qodri
ARRUS Journal of Engineering and Technology Vol. 5 No. 1 (2025)
Publisher : PT ARRUS Intelektual Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35877/jetech4398

Abstract

Time series analysis is a statistical method used to model and forecast sequential data over time. This modeling is typically performed using software, but most analytical tools require paid licenses. To address this issue, the TSA App by R Shiny is developed as an open-source application that is easily accessible. The application features a dashboard-based interface designed to help users perform univariate time series analysis without requiring programming skills. This study compares the analysis results of the TSA App with other software such as R Studio, Minitab, and Python. The results show that the TSA App produces comparable outputs in terms of visualization, ARIMA modeling, and forecasting accuracy. Therefore, the TSA App provides a practical and legal solution for time series analysis, especially for users who are unfamiliar with coding.
Workshop on Student Graduation Decisions Using Statistical Methods at Takalar State Senior High School 7 Annas, Suwardi; Ahmar, Ansari Saleh; Rais, Zulkifli; H.S, Rahmat; Tri Utomo, Agung
ARRUS Jurnal Pengabdian Kepada Masyarakat Vol. 4 No. 2 (2025)
Publisher : PT ARRUS Intelektual Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35877/454RI.abdiku4458

Abstract

This community service program was conducted at SMA Negeri 7 Takalar to enhance teachers’ ability to utilize statistical methods specifically logistic regression to support data-driven graduation decisions. The training addressed challenges related to manual graduation assessment processes that often lack objective analytical support. Participants were introduced to the basic concepts of logistic regression, followed by hands-on practice using an interactive R Shiny dashboard to analyze student data and estimate graduation probabilities. The results indicate that teachers were able to understand and apply statistical analysis procedures, interpret logistic regression outputs, and recognize the importance of evidence-based decision-making. This activity not only improved teachers’ data literacy but also supported digital transformation efforts in education and strengthened collaboration between Universitas Negeri Makassar and SMA Negeri 7 Takalar. The program is expected to contribute to more accurate, transparent, and data-informed graduation assessments in the future.
Perbandingan Model Value-at-Risk (VaR) Hybrid GARCH-EVT dan Model Standar dalam Pengukuran Risiko Ekstrem pada Portofolio Saham Sektoral di Indonesia Annisa Syalsabila; Ikhwana, Nur; Utomo, Agung Tri; Rahmanda, Lalu Ramzy; Rais, Zulkifli
VARIANSI: Journal of Statistics and Its application on Teaching and Research Vol. 7 No. 03 (2025)
Publisher : Program Studi Statistika Fakultas MIPA UNM

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35580/variansiunm461

Abstract

This study aims to construct an optimal portfolio and compare the accuracy of various Value-at-Risk (VaR) models in measuring the risk of stock portfolios in the Indonesia Stock Exchange (IDX). The optimal portfolio is formed using the Minimum Variance Portfolio (MVP) method based on 11 sector-representative stocks for the period 2019–2025. The risk performance of this portfolio is then evaluated using six VaR models: Variance–Covariance (VC), Historical Simulation (HS), Monte Carlo (MC), GARCH (1,1), Extreme Value Theory (EVT-GPD), and the hybrid GARCH–EVT model. Model accuracy is assessed through backtesting using the Kupiec Proportion of Failures (POF) test and the Christoffersen Conditional Coverage (CC) test at the 95% and 99% confidence levels. The optimization results indicate that the MVP portfolio is dominated by defensive sectors such as consumer non-cyclicals (ICBP.JK) and large-cap banking (BBCA.JK). Backtesting results show that although all models perform adequately at the 95% level, standard models (VC, MC, GARCH) fail to capture extreme risk at the 99% level. In contrast, the GARCH–EVT model satisfies the backtesting criteria and emerges as the most accurate and superior model for predicting extreme losses.Penelitian ini bertujuan untuk membangun portofolio optimal dan membandingkan akurasi berbagai model Value-at-Risk (VaR) dalam mengukur risiko portofolio saham di Bursa Efek Indonesia (BEI). Portofolio optimal dibentuk menggunakan metode Minimum Variance Portfolio (MVP) dari 11 saham perwakilan sektor periode 2019-2025. Kinerja risiko portofolio ini kemudian diukur menggunakan enam model VaR: Variance-Covariance (VC), Historical Simulation (HS), Monte Carlo (MC), GARCH (1,1), Extreme Value Theory (EVT-GPD), dan model hybrid GARCH-EVT. Akurasi model diuji menggunakan backtesting Uji Kupiec (POF) dan Uji Christoffersen (CC) pada tingkat kepercayaan 95% dan 99%. Hasil optimisasi menunjukkan portofolio MVP didominasi oleh sektor defensif seperti consumer non-cyclicals (ICBP.JK) dan perbankan big-cap (BBCA.JK). Hasil backtesting menunjukkan bahwa meskipun semua model akurat pada tingkat 95%, model standar (VC, MC, GARCH) gagal mengukur risiko ekstrem pada tingkat 99%. Sebaliknya, model GARCH-EVT terbukti memenuhi uji dan menjadi model yang paling akurat dan superior untuk memprediksi kerugian ekstrem.
Co-Authors Ahmar, Ansari Saleh Aidid, Muhammad Kasim Alfairus, Muh. Qodri Annisa Syalsabila Erfiani Erfiani Fitrianto, Anwar H.S, Rahmat Ikhwana, Nur Rahmanda, Lalu Ramzy Rais, Zulkifli Suwardi Annas