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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi
Ruchjana, Budi N
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Mathematics

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Hybrid Model of Singular Spectrum Analysis and ARIMA for Seasonal Time Series Data Darmawan, Gumgum; Rosadi, Dedi; Ruchjana, Budi N
CAUCHY Vol 7, No 2 (2022): CAUCHY: Jurnal Matematika Murni dan Aplikasi (May 2022) (Issue in Progress)
Publisher : Mathematics Department, Maulana Malik Ibrahim State Islamic University of Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/ca.v7i2.14136

Abstract

Hybrid models between Singular Spectrum Analysis (SSA) and Autoregressive Integrated Moving Average (ARIMA) have been developed by several researchers. In the SSA-ARIMA hybrid model, SSA is used in the decomposition and reconstruction process, while forecasting is done through the ARIMA model. In this paper, hybrid SSA-ARIMA uses two auto grouping models. The first model, namely the Alexandrov method and the second method, is alternative auto grouping with a long memory approach. The two-hybrid models were tested for two types of seasonal patterns, multiplicative and additive seasonal time series data. The analysis results using both methods give accurate results; as seen from the MAPE generated the 12 observations for the future, the value is below 5%. The hybrid SSA-ARIMA method with Alexandrov auto grouping is more accurate for an additive seasonal pattern, but the hybrid SSA-ARIMA with alternative auto grouping is more accurate for a multiplicative seasonal pattern.
Co-Authors Dedi Rosadi Gumgum Darmawan