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Subanar .
Department Of Mathematics, Universitas Gadjah Mada
Agriculture, Biological Sciences & Forestry Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Electrical & Electronics Engineering Mathematics Other

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NON AUTOMATICALLY EXERCISED (NAE) EUROPEAN CAPPED CALL PRICING THEORY ., Subanar; Guritno, Suryo; S., Zanzawi; ., Abdurakhman
Journal of the Indonesian Mathematical Society Volume 13 Number 2 (October 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.2.69.215-221

Abstract

The objective of this paper is to present a methodology for deriving Black Scholes formulae via a simple lognormal distribution approach and introduce European capped non automatically exercise (NAE) call option pricing theory. DOI : http://dx.doi.org/10.22342/jims.13.2.69.215-221
SOME COMMENTS ON THE THEOREM PROVIDING STATIONARITY CONDITION FOR GSTAR MODELS IN THE PAPER BY BOROVKOVA et al. ., Suhartono; ., Subanar
Journal of the Indonesian Mathematical Society Volume 13 Number 1 (April 2007)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.13.1.90.115-122

Abstract

Generalized Space-Time Autoregressive (GSTAR) model is one of the models that usually used for modeling and forecasting space and time series data. The aim of this paper is to study further about the stationarity conditions for parameters in the GSTAR model and the relation to Vector Autoregressive (VAR) model. We focus on the theoretical study about stationarity condition in GSTAR(11) and the relation tothe stationarity condition of parameters in VAR(1). Then, we do an empirical study to give counter examples for the theorem of stationarity condition proposed by Borovkovaet al. The results show that the theorem of stationarity condition of parameters in GSTAR(11) model given by Borovkova et al. is incorrect. Additionally, the empirical results also show that GSTAR(11) model could always be represented in VAR(1) model by applying matrix operation to the space and time parameters. Hence, we can also conclude that VAR model, particularly VAR(1), is an extension of GSTAR(11) model with any possibility values of space and time parameters.DOI : http://dx.doi.org/10.22342/jims.13.1.90.115-122
PENENTUAN RUTE PENGAMBILAN SAMPAH DI KOTA MERAUKE DENGAN METODE SAVING HEURISTIC Perwitasari, Endah Wulan; Subanar, Subanar
JURNAL ILMIAH MATRIK MATRIK Vol.15 No.2 Agustus 2013
Publisher : Universitas Bina Darma

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (356.789 KB)

Abstract

Waste distribution problem has the common characteristics of the poor of scheduling and poor establishing route of waste. The waste distribution problems cover several issues such as the selection the route for the vehicle and the minimizing the distribution cost. The waste collection route is modeled into Vehicle Routing Problem (VRP). VRP is the selection of which route used by the dump trucks. The purpose of VRP is to minimize the time, distance, and distribution cost. There are two methods to deal with the VRP problems, which are the exact and heuristic methods. The exact method aimed to the optimum result, whereas heuristic method put emphasis on near-to-optimum but with quicker computing time. The result obtained by this research is the combination between exact and heuristic method. This combination is successfully implemented and it is able to determine which route to fulfill the problems of waste distribution. Keywords: Waste Collection Route, Algorithm, VRP, and Saving Heustic
GENERAL REGRESSION NEURAL NETWORK (GRNN) PADA PERAMALAN KURS DOLAR DAN INDEKS HARGA SAHAM GABUNGAN (IHSG) Adnyani, Luh Putu Widya; Subanar, Subanar
PYTHAGORAS: Jurnal Program Studi Pendidikan Matematika Vol 4, No 1 (2015): PYTHAGORAS
Publisher : UNIVERSITAS RIAU KEPULAUAN

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (768.465 KB) | DOI: 10.33373/pythagoras.v4i1.576

Abstract

Abstrak General Regression Neural Network (GRNN) merupakan salah satu metode yang dikembangkan dari konsep jaringan syaraf tiruan yang dapat digunakan untuk peramalan.  Metode ini diaplikasikan untuk memprediksi data time series yang memiliki hubungan kausal dimana metode peramalan yang digunakan sebelumnya (ARIMA BOX - Jenkins) tidak mampu menjelaskan adanya keterkaitan data.Penelitian ini dilakukan dengan mengambil data kurs dollar dan IHSG.  Dengan menggunakan metode GRNN diperoleh suatu prediksi nilai IHSG beberapa periode kedepan.  Keunggulan penggunaan metode ini yaitu lebih cepat dari segi perhitungan dan tidak memerlukan adanya suatu asumsi data.   Metode GRNN menghasilkan nilai prediksi yang lebih akurat dibandingkan dengan metode ARIMA.  Hal itu ditunjukkan dari nilai MSE yang lebih kecil dari metode ARIMA.Kata Kunci: GRNN, Neural Network, GRNN Time Series, GRNN Kurs dan  IHSG. Abstract General Regression Neural Network (GRNN) is one method that was developed from the concept of artificial neural network that can be used for forecasting.  This method was applied to predict the time series data that has a causal relations where the forecasting method used previously (ARIMA BOX-Jenkins)is not able to explain the presence of linkage data.This research was conducting by taking the dollar exchange rate and composite stock price index (IHSG).  By using the GRNN method will obtained the predictive value in some future period.  The advantages using this method is faster in term of computation and doesn?t requaired the presence of a data assumptions.  GRNN method produces more accurate predictive value compared with ARIMA.  It was shown that the MSE value is smaller than ARIMA.Keyword:  GRNN, Neural Network, GRNN Time Series, GRNN Dollar exchange rate and   IHSG.
Asimtotik Model Multivariate Adaptive Regression Spline Otok, Bambang Widjanarko; Guritno, Suryo; Subanar, Subanar
Jurnal Natur Indonesia Vol 10, No 2 (2008)
Publisher : Lembaga Penelitian dan Pengabdian kepada Masyarakat Universitas Riau

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (153.379 KB) | DOI: 10.31258/jnat.10.2.112-119

Abstract

Parameter estimation in MARS model executed by minimizing penalized least-squarer (PLS). Through somerequirement, asymtotic estimator characteristic from MARS prediction model has been successfully proven. Theresearch result shows that GCV can work properly to determine the best model that applied on MARS model. Solar’s vehicles produce opacity that exceed the standard limit of emition quality which was adjusted in Kepmen LH No.35 Year 1993, as large as 88 percent from 408 percent. Applying years, cylinder volume, type of machine, andvehicle’s radius are the variables that influences the opacity.
Statistical Significance Test for Neural Network Classification Rezeki, Sri; Subanar, Subanar; Guritno, Suryo
Jurnal Natur Indonesia Vol 11, No 1 (2008)
Publisher : Lembaga Penelitian dan Pengabdian kepada Masyarakat Universitas Riau

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (102.606 KB) | DOI: 10.31258/jnat.11.1.64-69

Abstract

Model selection in neural networks can be guided by statistical procedures, such as hypothesis tests, informationcriteria and cross validation. Taking a statistical perspective is especially important for nonparametric models likeneural networks, because the reason for applying them is the lack of knowledge about an adequate functionalform. Many researchers have developed model selection strategies for neural networks which are based onstatistical concepts. In this paper, we focused on the model evaluation by implementing statistical significancetest. We used Wald-test to evaluate the relevance of parameters in the networks for classification problem.Parameters with no significance influence on any of the network outputs have to be removed. In general, theresults show that Wald-test work properly to determine significance of each weight from the selected model. Anempirical study by using Iris data yields all parameters in the network are significance, except bias at the firstoutput neuron.
ESTIMASI PARAMETER MODEL TAHAP AWAL AR(1) REGRESI RESPON BINER LONGITUDINAL Fajriyah, Rohmatul; subanar, subanar
MATEMATIKA Vol 5, No 3 (2002): Jurnal Matematika
Publisher : MATEMATIKA

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (63.202 KB)

Abstract

Data yang diperoleh dari hasil pengukuran berulang pada subyek tertentu, biasanya akan berkorelasi. Pada regresi respon biner, jika digunakan model autoregressif order -, AR(1), maka diperlukan pengetahuan tentang  outcome sebelumnya, , yang tak terobservasi. Model untuk menginferensi data dengan model AR(1), diantaranya adalah model AR(1) kondisional. Pada model ini, nilai  diambil sembarang, yaitu   atau . Model di atas akan dibahas dan dibandingkan hasil estimasinya melalui studi simulasi
PEMILIHAN MODEL REGRESI LINIER DENGAN BOOTSTRAP tarno, Tarno; subanar, subanar
MATEMATIKA Vol 4, No 1 (2001): JURNAL MATEMATIKA
Publisher : MATEMATIKA

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (97.669 KB)

Abstract

Tulisan ini membicarakan tentang penerapan bootstrap untuk pemilihan model regresi linier terbaik. Model regresi linier terbaik yang terpilih adalah model dengan estimasi sesatan prediksi kuadrat minimal atas semua model regresi  yang mungkin yaitu sebanyak 2p-1 model dengan p: banyaknya variabel prediktor. Metode Bootstrap memilih suatu model dengan meminimalkan rata-rata sesatan prediksi kuadrat berdasarkan  resampling data yang dibangkitkan melalui pasangan data dan residual, dengan mempertimbangkan juga variabel prediktor yang terlibat sesedikit mungkin. Pemilihan variabel berdasarkan bootstrap pasangan data dan bootstrap residual dengan n ukuran sampel bootstrap adalah konsisten. Dan jika ukuran sampel bootstrap diambil m dengan , pemilihan variabel bootstrap juga konsisten. Hasil dari suatu simulasi dengan SPLUS disajikan dalam tulisan ini.  
Development of a Spatial Path-Analysis Method for Spatial Data Analysis Wiwin Sulistyo; Subanar Subanar; Reza Pulungan
International Journal of Electrical and Computer Engineering (IJECE) Vol 8, No 4: August 2018
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1162.002 KB) | DOI: 10.11591/ijece.v8i4.pp2456-2467

Abstract

Path analysis is a method used to analyze the relationship between independent and dependent variables to identify direct and indirect relationship between them. This method is developed by Sewal Wright and initially only uses correlation analysis results in identifying the variables' relationship. Path analysis method currently is mostly used to deal with variables with non-spatial data type. When analyzing variables that have elements of spatial dependency, path analysis could result in a less precise model. Therefore, it is necessary to build a path analysis model that is able to identify and take into account the effects of spatial dependencies. Spatial autocorrelation and spatial regression methods can be used to develop path analysis method so as to identify the effects of spatial dependencies. This paper proposes a method in the form of path analysis method development to process data that have spatial elements. This study also discusses our effort on establishing a method that could be used to identify and analyze the spatial effect on data in the framework of path analysis; we call this method spatial path analysis.
Brown’s Weighted Exponential Moving Average Implementation in Forex Forecasting Seng Hansun; Subanar Subanar
TELKOMNIKA (Telecommunication Computing Electronics and Control) Vol 15, No 3: September 2017
Publisher : Universitas Ahmad Dahlan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12928/telkomnika.v15i3.5410

Abstract

In 2016, a time series forecasting technique which combined the weighting factor calculation formula found in weighted moving average with Brown’s double exponential smoothing procedures had been introduced. The technique is known as Brown’s weighted exponential moving average (B-WEMA), as a new variant of double exponential smoothing method which does the exponential filter processes twice. In this research, we will try to implement the new method to forecast some foreign exchange, or known as forex data, including EUR/USD, AUD/USD, GBP/USD, USD/JPY, and EUR/JPY data. The time series data forecasting results using B-WEMA then be compared with other conventional and hybrid moving average methods, such as weighted moving average (WMA), exponential moving average (EMA), and Brown’s double exponential smoothing (B-DES). The comparison results show that B-WEMA has a better accuracy level than other forecasting methods used in this research.
Co-Authors Abdurakhman . Abdurakhman . Abdurakhman Abdurakhman Agus Maman Abadi Bambang Widjanarko Otok Dedy Rosadi Endah Wulan Perwitasari, Endah Wulan Herni Utami Herni Utami Luh Putu Widya Adnyani Mayawi, Mayawi MHD. Reza M.I. Pulungan Muhammad Dermawan Mulyodiputro Muhammad Hisyam Lee Muhammad Hisyam Lee Paulo Canas Rodrigues Putriaji Hendikawati Rohmatul Fajriyah Samsubar Saleh Seng Hansun Sri Rezeki Suhartono . Suhartono Suhartono Suhartono Suhartono Suhartono Suhartono Sukono Sukono Suryo Guritno Suryo Guritno Tarno Tarno Tarno Tarno Vemmie Nastiti Lestari Widodo Widodo Winita Sulandari Winita Sulandari Winita Sulandari Wiwin Sulistyo Zanzawi S. Zanzawi S.