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D. N. SARI
Bogor Agricultural University
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PEMODELAN NILAI TUKAR RUPIAH TERHADAP $US MENGGUNAKAN HIDDEN MARKOV* B. SETIAWATY; D. N. SARI
MILANG Journal of Mathematics and Its Applications Vol. 4 No. 2 (2005): Journal of Mathematics and Its Applications
Publisher : Dept. of Mathematics, IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (306.056 KB) | DOI: 10.29244/jmap.4.2.21-28

Abstract

Perilaku nilai tukar Rupiah terhadap $US dari tahun 1998 sampai dengan 2005 dicoba dimodelkan dengan menggunakan Hidden Markov (Elliott, et. al. 1995) Pendugaan parameter model dilakukan mengunakan Metode Maximum Likelihood dan pendugaan ulang menggunakan metode Expectation Maximization yang melibatkan perubahan ukuran. Hasil yang diperoleh kurang baik karena galat antara nilai harapan dengan nilai sebenarnya cukup besar.
Co-Authors Berlian Setiawaty