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Journal : Jurnal Gaussian

ANALISIS KINERJA PORTOFOLIO OPTIMAL CAPITAL ASSET PRICING MODEL (CAPM) DAN MODEL BLACK LITTERMAN Anton Suhartono; Sugito Sugito; Rita Rahmawati
Jurnal Gaussian Vol 4, No 3 (2015): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (498.597 KB) | DOI: 10.14710/j.gauss.v4i3.9425

Abstract

Stock portfolio is investment which comprised of various stocks from different companies, with the hope when the price of one stock decreases, while the other increases, investments do not suffer losses.The final stage in the investment process is to assess the performance of a portfolio. The purpose of portfolio performance assessment is to determine and analyze whether the formed portfolio have a better performance than other portfolios. Capital Asset Pricing Model (CAPM) explains that historical data and unrisk asset are used to to form portfolio. Black Litterman modelis developed by Robert Litterman and Fisher Black in the 1990s, forming a portfolio by combining historical data and investor intuition or investor views about the economic conditions that are happening. CAPM portfolio and Black Litterman model portfolio performance assessment can be performed by using Sharpe index, Treynor index and Jensen index. This research uses data from closing prices of stocks that join BISNIS-27 Index on period January 2010 until December 2014. Based on Sharpe index, Treynor index and Jensen index, optimal portfolio is CAPM portfolio with consisted by two stocks and the proportion investement are 86.936% for BMRI and 13.064% for INCO. Keywords: BISNIS-27 Index, Portfolio, Capital Asset Pricing Model (CAPM), Black Litterman Model, Treynor Index, Sharpe Index, Jensen Index.
APLIKASI MODEL REGRESI SPASIAL UNTUK PEMODELAN ANGKA PARTISIPASI MURNI JENJANG PENDIDIKAN SMA SEDERAJAT DI PROVINSI JAWA TENGAH Restu Dewi Kusumo Astuti; Hasbi Yasin; Sugito Sugito
Jurnal Gaussian Vol 2, No 4 (2013): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (630.521 KB) | DOI: 10.14710/j.gauss.v2i4.3804

Abstract

Net Enrollment Ratio (NER) is an  instrument to measure education rate. But NER rate of Senior High School in Central Java Province is only 47,34 %. This study discuss about regression model of factors which influence NER of Senior High School for Central Java province considering  spatial effects for each regency  in Central Java province. The examination of spatial effects shows that there is spatial dependence in response variable so this study is developed by using Spatial Autoregressive Model (SAR). The methods for estimating the parameter are   Ordinary Least Square and Maximum Likelihood Estimation. The result of this study shows that the average number of household members has significant spatial effect for NER rate of Senior High School in Central Java Province. From the comparison AIC value, it was found that SAR model is better to analyze NER rate of Senior High School in Central Java province than classic one.
METODE ROBUST KRIGING UNTUK MENGESTIMASI DATA SPASIAL BERPENCILAN (Studi Kasus: Pencemaran Udara Gas NO2 di Kota Semarang) Anjan Setyo Wahyudi; Sugito Sugito; Dwi Ispriyanti
Jurnal Gaussian Vol 5, No 3 (2016): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (493.281 KB) | DOI: 10.14710/j.gauss.v5i3.14688

Abstract

Kriging is a geostatistical analysis used to estimate the value of the function at an unsampled point by computing a spatial correlation in the neighbourhood of the sample point. Interpolation can produce less precise predictive value if there are outliers among the data. Outliers defined as extreme observation value of the other observation values. Robust kriging is development method of ordinary kriging which transform weight of classic semivariogram thus become semivariogram that robust to outlier of the data. This research aims to estimate the concentrate of Nitrogen Dioxide (NO2) in Semarang using robust kriging method. The spatial data used in this research is coordinates point and concentrate of Nitrogen Dioxide (NO2). This method compare between robust semivariogram and theoretical semivariogram (such as spherical, exponential, and gaussian models) to determine the best estimator of the theoretical semivariogram model. The analysis showed that the best theoretical semivariogram model is exponential model. The estimation of Nitrogen Dioxide concentration conducted at 177 urban communities in Semarang.Keywords: kriging, outliers, robust kriging, robust semivariogram
ANALISIS PELAYANAN SERVIS DI BENGKEL NASMOCO CABANG SOLO BARU DENGAN METODE ANTRIAN Fatma Septy Deviana; Sugito Sugito; Moch. Abdul Mukid
Jurnal Gaussian Vol 3, No 4 (2014): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (516.811 KB) | DOI: 10.14710/j.gauss.v3i4.8077

Abstract

World automotive in Indonesia has grown and has a very tight competition. As a company that is in the automotive world and is one of sole agent Toyota in Indonesia to Central Java and Yogyakarta, Nasmoco Solo Baru branch have service and parts facility. As a service provider, Nasmoco Solo Baru branch seeks to serve customers well according to the arrival rate of each customer. Thus, the need to know the measure of system performance on each part on the system service advisor. Queuing system at Nasmoco Solo Baru contained in the Registration Service, Service Parts, and the Cashier Section. Based on the results obtained and the analysis of queuing models are on the Registration Service (M/G/7): (GD/∞/∞) for Monday-Saturday with the booking system and (G/G/7): (GD/∞/∞) for non-booking system, while on Sunday/Holiday booking system model is obtained (M/M/2): (GD/∞/∞) and (M/G/2): (GD/∞/∞) to non-booking system. The model obtained in the service for Monday-Saturday with the booking system and non-booking is (M/G/17): (GD /∞/∞), while on Sunday/Holiday booking system obtained with the model (M/G/9): (GD/∞/ ∞) and (M/M/9): (GD/∞/∞) to the non-booking system. At the cashier queue model for a Monday-Saturday have the same model with a Sunday/Holiday is (M/G/9): (GD/∞/∞). Keywords: Queuing Systems, Nasmoco Solo Baru Branch, Registration Services, Service Parts, Cashier Section.
ANALISIS SISTEM PELAYANAN DI STASIUN TAWANG SEMARANG DENGAN METODE ANTRIAN Nursihan Nursihan; Sugito Sugito; Hasbi Yasin
Jurnal Gaussian Vol 4, No 2 (2015): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (312.433 KB) | DOI: 10.14710/j.gauss.v4i2.8586

Abstract

Semarang Tawang Station is one of the stations visited by customers. As it is known that the train journey into one of the fastest alternative but to use other means of transportation. Therefore, it is necessary to analyze queuing model that describes the conditions to determine the size of the performance of the system to see how the service provided. When the distribution is a Poisson arrival or services or the exponential model (M) but if the distribution is not Poisson or exponential, the model General (G). Model queue at the station with the number of arrivals and the number of services is (M/M/5):(GD/∞/∞). Keywords: Processqueue, Semarang Tawang station, queuing models.
ANALISIS SISTEM ANTRIAN PESAWAT TERBANG DI BANDARA INTERNASIONAL AHMAD YANI SEMARANG Anggit Ratnakusuma; Abdul Hoyyi; Sugito Sugito
Jurnal Gaussian Vol 4, No 4 (2015): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (527.673 KB) | DOI: 10.14710/j.gauss.v4i4.10126

Abstract

Long queuing is not expected by anyone, because it’s taking much time and tiresome. However, this situation is not avoidable in public area, for example Ahmad Yani International Airport Semarang. Aircraft queuing that will take off and landed resulted in increasing of the queuing of passengers to aboard. The suitable queuing system model for Ahmad Yani Internasional Airport Semarang to solve its air traffic is using (M/M/6):(GD/∞/∞), with six aprons as server of reguler commercial flight. Moreover, based on the result of system performance measure, service system in Ahmad Yani Internasional Airport Semarang report is good enough. The result of system performance measure said that average number of aircraft in the system (Ls) was 1,0716 aircraft per hour, average number of aircraft in the queue (Lq) was 0,0002 aircraft per hour, average time aircraft spends in the system (Ws) was 0,4977 from an hour, and average time aircraft spends in the queue (Wq) was 0,0001 from an hour. The simulation showed that by using four operating server or adding two more arrival additionals in every hour, the service system is quite effective. Keywords: Queuing System Model, Ahmad Yani International Airport Semarang
ANALISIS PENGARUH KURS RUPIAH TERHADAP INDEKS HARGA SAHAM GABUNGAN MENGGUNAKAN DISTRIBUTED LAG MODEL Wilis Ardiana Pradana; Rita Rahmawati; Sugito Sugito
Jurnal Gaussian Vol 5, No 1 (2016): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (373.108 KB) | DOI: 10.14710/j.gauss.v5i1.11060

Abstract

Analysis of distributed lag Statistics is a branch of science that discuss the case of time series data. The method can be used in a distributed lag analysis there are two Koyck Method and Almon Method. At Koyck Method of regression coefficients are assumed to have the same sign and decreases geometrically. In this method there is the dependent variable at a time ago as the independent variable so that the equation is autoregressive. By using this method to analyze the effect of the exchange rate against IHSG. Data used were 35 data. The results showed that the regression coefficient does not decrease geometrically, so that Koyck Method can not be used to resolve this case. To resolve this case, the used Almon Method. In the Almon Method assumed regression coefficient can be approximated by a polynomial has degree. Before applying this method to be specified maximum length of lag and the degree polynomial. To determine performed several experiments using lag length and degree polynomial different. Through these experiments the best results are obtained with a lag of three and a maximum length of second degree polynomials. The results indicate that the effect of the exchange rate against IHSG inversely. Keywords:      Distributed Lag, Koyck Method, Almon Method, Autoregressive, Lag, Polynomial
ANALISIS SISTEM ANTREAN PELAYANAN DI PT POS INDONESIA (PERSERO) KANTOR POS II SEMARANG Anggraini Susanti Kusumawardani; Sugito Sugito; Rita Rahmawati
Jurnal Gaussian Vol 3, No 4 (2014): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (371.888 KB) | DOI: 10.14710/j.gauss.v3i4.8066

Abstract

PT Pos Indonesia (Ltd.) is one of state-owned enterprise engaged the field of service. Along with the development of communication device which more sophisticated and modern, PT Pos Indonesia (Ltd.) has to restructure, reform, and transform. Hence, that mail and delivery service through post remains used and preferred by community. There are many things to do by the customers, this is the reason why PT Pos Indonesia (Ltd.) Kantor Pos II Semarang is always crowded by customers. Therefore, it’s important to analyze queuing system that describe the condition of service line and measures of performance of four types of service counters in PT Pos Persero (Ltd.) Kantor Pos II Semarang, those are Postage counter, Special Delivery, Express, and EMS counter, Money Orders counter, and Tax counter. Base on the observation that has been done, the queuing model at the Postage counter is (M/G/1):(GD/∞/∞), Special Delivery, Express, and EMS counter is  (M/M/3):(GD/∞/∞), Money Orders counter is (M/M/2):(GD/∞/∞), and Tax counter is (M/M/2):(GD/∞/∞). Key words    :    PT Pos Indonesia (Ltd.) Kantor Pos II Semarang, Queuing Model, Measures of Performance.
ANALISIS SISTEM ANTREAN PELAYANAN DI KANTOR PERTANAHAN KOTA SEMARANG Lenti Agustina Lianasari Tambunan; Sugito Sugito; Hasbi Yasin
Jurnal Gaussian Vol 3, No 4 (2014): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (519.54 KB) | DOI: 10.14710/j.gauss.v3i4.8083

Abstract

Kantor Pertanahan Kota Semarang in charge of the land with an area of 373.70 km2 coverage, every day crowded with visitors who want to take care of the land petition. However, the high number of applicants who must be served not proportional to the number of care facilities available to the applicant should enter the waiting list queue or experiencing situation. This situation occurs in almost all counters, namely Counter 1 Land Information, Counter 2 Registration, Counter 3 Payment, and Counter 4 Product Delivery. Therefore, the required analysis is based on the model line system in accordance with the conditions of service which can then be used to address the issue queue. Based on the analysis, the model system is the best line in counter 1 land information (M/M/1): (GD/∞/∞). Counter 2 registration which is divided into 7 sub-counters have a model (M/M/2): (GD/∞/∞) to sub counters 2A, 2B, 2C, 2E/F, 2G, 2H, and the model (M/M/4): (GD/∞/∞) to sub counter 2D. Counter 3 payment (M/M/2): (GD/∞/∞). Counter 4 is the product delivery (M/M/2): (GD/∞/∞).Keywords :  Queuing system, Service, Arrivals
PEMODELAN MARKOV SWITCHING VECTOR AUTOREGRESSIVE (MSVAR) Hayuk Permatasari; Budi Warsito; Sugito Sugito
Jurnal Gaussian Vol 3, No 3 (2014): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (639.453 KB) | DOI: 10.14710/j.gauss.v3i3.6453

Abstract

Economic and financial variables are variables that are fluctuated because of regime switching as a result of political and economical conditions. Linear modeling can not capture the regime switching, so it is better to use Markov Switching Vector Autoregressive Models (MSVAR). MSVAR is a combination of vector autoregressive models and hidden markov models. Daily return of Rupiah buying rate against the USD and Euro are economic variables that are fluctuated and they can explain economic condition of a country. The best model of five order iteration is MS (2) - VAR (4) with the smallest AIC value, that is -1460.48.  Maximum Likelihood Estimation is a method to get parameters estimation. With 73 data, the return rates has transition probability 0.08 from crisis to normal state, while the transisition probablity of the opposite condition is 0.6. Expected value being at normal state is 13.10 days and being at crisis state is 1,68 days.
Co-Authors Abdul Hoyyi Abdullah Nur Aziz abdullah nur aziz Abellisa Abellisa Acnes Ratu Dea Adek Cerah Kurnia Azis Adin Ariyanti Dewi Agung - Kusasti Agus Rusgiyono Al Azhar Alan Prahutama Aminuddin Aminuddin Aminuyati Amiruddin Amiruddin Andi Novita Andry Dwira Utama Anggit Ratnakusuma Anggraini Susanti Kusumawardani Anjan Setyo Wahyudi Anna Farida Annisa Annisa Annisa Rifka Alifia Anton Suhartono Aqila Yusriyya Hanun Aref Vai Arham Arham Arief Rachman Hakim Arief Seno Nugroho Arif Widagdo Ariyo Kurniawan Arman Sayuti Arumi Savitri F Aryani Sairun Aryono Rahmad Hakim Aselina Pratidina Wrediningsih Aulia Syafidah Ayuni Ruslina B.Y. Eko Budi Jumpeno Baehaqi Bandhia Ayu Lestari Budi Warsito Cakra Kurniawan Christina Irnani Cut Nila Thasmi Cyntia Surya Utami Darari Rahma Lalita Darmanto Silalahi Darmawi Darmawi Dasrul Dasrul Daulat Saragi Dede Rusmawan Dedi Nugraha Delfiana Anggraini Permatasari Dhiniaty Gularso Di Asih I Maruddani Diah Safitri Dian Febriana Dita Rosita Sari Dita Ruliana Djoko Adi Walujo Dwi Ispriyanti Dwi Ispriyanti Dwi Ispriyanti Dwi Sari Tristiana Eko Adyan Sukanianto Elsa Mariane Ramadani Endra Susila Erna Fransisca Angela Sihotang Erna Musri Arlita Erwin Erwin Esti Pratiwi Etriwati E Fakhrurrazi Fakhrurrazi Farzand Abdullatif Fatkhan Arissetya Fatma Septy Deviana Firda Shintia Dewi Friska Irnas Adiyani Frisyi Alfiah Gholib Gholib Ginta Riady Hamdan Hamdan Hamdani Budiman hartono hartono Hartono Hartono Hartono Hartono Haryanti Novitasari Hasbi Yasin Hayuk Permatasari Ilham Indra Bakti Al-Irsyad Ilhan Samudra Fattah Indah Nurhayati Indrarini D. I. Indria Tsani Hazhiah Ira Susanti Ismail Ismail Issabella Marsasella Christy Jenesia Kusuma Wardhani Joko Sutrisno Julia Kardin Juliani Juliani Kelik Isbiyantoro Khusnul Yeni Widiyanti Kiky Moelviani Kofifah Indar Prawansyah Lailatus Sya’diyah Laily Nadhifah Lenti Agustina Lianasari Tambunan Leny Darlem Luthfi Nashukha Dewi M Daud AK M Nur Salim M. Chairul Amri M. Hasan Mahdi Abrar Mahdi Abrar Martyanto Tedjo Masfuhurrizqi Iman Mekar Sekar Sari Melati Puspa Nur Fadlilah Meliy Marsanda Merynda Indriyani Syafutri Moch. Abdul Mukid Muhammad Al Kholif Muhammad Faizin Muhammad Hambal Muhammad Hanafiah Muslim Akmal Mustafid Mustafid Muzammil Muzammil Nabigus Thoriq Harasta Nandita Aprilia Ayu Virnanda Nia Puspita Sari Niha Kamaliya Niken Nindyaiswari Noveda Mulya Wibowo NOVIA RAHMAWATI Nur Paramita Nira Mulyono Nurliana Nurliana NURLIANA NURLIANA Nursihan Nursihan Nurul Trianda Prameswari R. Kusumo Pratiwi Purnama Sari Prizka Rismawati Arum Pujiono Pujiono Pungut Pungut Pungut, Pungut Purina Pakurnia Artiguna Putra Halomoan Siregar Rahmah Merdekawaty Rany Wahyuningtias Ratnawati, Rhenny Razali Daud Razali Razali Restu Dewi Kusumo Astuti Rinidar Rinidar Rintan Aulal Ilmy Rita Rachmawati Rita Rahmawati Rivaldi Luthfi Rizki Aulia Rohiman Rohiman Roslizawaty Roslizawaty Rukun Santoso Rusli Rusli Salsabilah Balqis Sehah Sehah Sigit Puspito Sigma Wahyuni Silvia Rahmawati Simon Petrus Silalahi Siti Aisyah Siti Anisah Siti Azizah Siti Maghfirotin Soimah Siti Ma’rifah Slamet Slamet Slamet Slamet Sofia Cahyatilmasamah Sri Maya Sari Damanik Sri Wahyuni Sudarno Sudarno Suparno Suparno Suparti Suparti Susi Darmayanti Susy Sriwahyuni Sutrasno Sutrasno Swasnita Swasnita Syaiful, Friska Sylvi Natalia P P T. Armansyah TR T. Fadrial Karmil Tarno Tarno Tatik Widiharih Teuku Reza Ferasyi Teuku Reza Ferasyi Teuku Zahrial Helmi Tiani Wahyu Utami Titin Afriana Tongku Nizwan Siregar Triastuti Wuryandari Tristanti Tristanti Ulya Chofifah Ummu Balqis USWATUN HASANAH Vara Tassa Sutari Velly Ika Arfianda P A Vita Dwi Rachmawati Wahyu Wibawa Wayaning Apsari Widodo Soemadi Widya Ayu Yuliana Widya Nanda Wilis Ardiana Pradana Yuciana Wilandari Yudan Hermawan Yunanur Hanikmah Yustina Tri Handayani Yusuf Arifka Rahman Zamroni Zamroni Zaroh Irayani Zuhrawati NA Zulpikar Zulpikar