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Journal : EKSAKTA: Journal of Sciences and Data Analysis

 1 
Identifikasi dan Estimasi Runtun Waktu Model AR Menggunakan Algoritma Simulated Annealing Abdul Taram; suparman suparman
EKSAKTA: Journal of Sciences and Data Analysis VOLUME 11, ISSUE 2, August 2010
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam

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Abstract

When fitting a Autoregressive (AR) model to real data, the correct model order and the model parameter often unknown. Our aim is to find estimators of the order and the parameter based on the data. In this paper the model identification and parameter estimation for AR model is posed within a Bayesian framework. Within this framework the unknown order and parameter are assumed to be distributed according to a prior distribution, which incorporates all the available information about the process. All the information concerning the order andparameter characterising the model is then contained in the posterior distribution. Obtaining the posterior model order probabilities and the posterior model parameter probabilitiesrequires integration of the resulting posterior distribution, an operation which is analytically intractable. Here stochastic simulated annealing algorithm is developed to perform therequired integration by simulating from the posterior distribution. The methods developed are evaluated in simulation studies on number of synthetic and real data sets.Keywords : simulated annealing, autoregressive, order identification, parameter estimation.
Prediction Using Distributed Lagged Subset Model Suparman Suparman
EKSAKTA: Journal of Sciences and Data Analysis VOLUME 12, ISSUE 1, February 2011
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam

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Abstract

This  article  examines  the  problem  of  determining  the  future  value  of  the  dependent variable in the distributed lagged subset model. Unlike a distributed lag model in general, which assumes that all coefficients are not zero. In a distributed lagged subset model, some coefficients may be zero. The purpose of  this  study was  to determine  the predictive value of  the dependent variable in a distributed lagged subset model. The approach used to estimate the parameters of a distributed lagged subset model is the least square method and Ck statistic. Least squares method is used to determine the estimators of the coefficient of a distributed lagged subset model. Ck Statistic is used to select the best distributed lagged subset model. Some  simulations are delivered and prove  the efficiency of  this approach. Furthermore, this approach is implemented in real economic data.  Keywords : Distributed lagged subset model, Prediction, Least square method, Ck Statistic.  
Co-Authors abd rizky fauzy r Abdul Taram Ade Haerullah Ahmad Zaki Aja Avriana Said Ali Hanafiah Nasution Amanda Kania Diandini Amiruddin Saleh Andi saharuddin Anggi Widia Anggi Widia Khairunisa Anita Ardiyanti Ardiansa Ardiansa Arif Efendi A.S. Aris Sunarya Arsi Arsi Arum Setiawan Asep Suhendar Aswal Salewangeng Ayunda Gustiani Putri Badjuri Badjuri Bahtiar Bahtiar Bintang Siti Fadilah Brenda Syahirah Budiharto Budiharto Chairil Anwar Chumidach Roini Dadang Rosmana Dewi Anggraeni Dife Nur Tiara Dimas Deworo Puruhito Diniatik Diniatik Dody Safnul Effendy Effendy Eka Fransiska Elfita Elfita Eny Dwi Lestariningsih Erise Anggraini Fadhil Yazid Garcia Iktia Gracia Zephaniah Hadi, Moh. Solikul Hamdan Alawi hanifa zakiah muslimah Hapsah Usman Hidayat Harman Hamidson Harmini, Harmini Hasan Hamid Hasan, Muh hasbi hasbi Herman Sugianto Hustna Dara Sarra I.G.P. Wigena Ibnu Amar Ichwannudin Ichwannudin Ichwanuddin Ichwanuddin Ika Ismurdiyahwati Ira Dwi Rachmani Judiono Judiono Kalvin Albert Parinding Kasni Astutik Khalila Zahra Maharani Khodijah Khodijah KHOIRUL ANWAR Ksatriyo Pinandito Kusbianto Kusbianto Laendatu Paembonan Leonard Dharmawan Limatahu, Iqbal M. A. Firmansyah M. Heru Dwiyanto Magfirah Rasyid Maharani Azzahra Marieska Verawaty Meriah Kita Deliana N Mesrawaty Sabar Mimma Gustianingtyas Mira Mutiyani Mochamad Nasrullah Monica Alesia Muzakir Nabhila Manisya Netti Aryani Niar Niar Niku Saputra Novrian Novrian Nuraeni Dwi Dharmawati Nuryanti Nuryanti Priska Natasya Priyo Susilo Putiryani S Putriyani S Rahmadani Rahmadani Rais Firlando Ratu Chiandita Razman Razak Rici Tri Harpin Rici Tri Harpin Pranata Robin Berlin Sahputra Halawa Rois Arifin Ruhamah Ruhamah Rully Nur Septiana Embisa Saibi, Ningsi Said Hasan Saini Salwa Putri Awalina Sarwani Sarwani Shella Apriyani Br Surbakti SITI HERLINDA Siti Zubaidah Sofi Siti Selviyanti Soleha Soleha Sri Kadarwati Sri Kamariyah Subowo Subowo Sukri Sukri Sutisna Riyanto Suwandi Suwandi Suwardi Suwardi Tala, WD. Syarni Tantra Sakre Tri Rusti Marlina Triyansyah Triyansyah Triyono Triyono Wahyuningsih Wahyuningsih YULIA PUJIASTUTI Yunita Yunita Yunus Busa Yusmar Yusuf Ayu