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All Journal Science and Technology Indonesia Integra: Journal of Integrated Mathematics and Computer Science
Elfaki, Faiz AM
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Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Computer Science & IT Environmental Science Materials Science & Nanotechnology Mathematics Physics

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Dynamic Modeling of Energy Data: World Crude Oil and Coal Prices 2017-2023 (A State-Space Model Analysis of Multivariate Time Series) Russel, Edwin; Wamiliana; Usman, Mustofa; Elfaki, Faiz AM; Adnan, Arisman; Lindrianasari
Science and Technology Indonesia Vol. 10 No. 4 (2025): October
Publisher : Research Center of Inorganic Materials and Coordination Complexes, FMIPA Universitas Sriwijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26554/sti.2025.10.4.1301-1311

Abstract

The analysis of global crude oil and coal prices has attracted considerable research interest, as these prices significantly affect both society and industry, making the topic highly relevant for governments and policy makers. This study examines the correlation between global coal and crude oil prices from 2017 to 2023. It analyzes the behavior of these price series using a unit root test and develops an optimal model for conducting a Granger-causality analysis. To forecast crude oil and coal prices for the next 30 periods, a state-space modeling approach is applied. The unit root test results reveal that these prices are non-stationary, suggesting that any shocks to prices will have persistent effects. The best-fitting model for the association between coal and crude oil prices is a vector autoregressive model of order two (VAR(2)). The Granger-causality results reveal that current crude oil prices are influenced by both their own past values and previous coal prices, and vice versa. Forecasts using the state-space model suggest a modest upward trend for crude oil prices over the next 30 periods, while coal prices are projected to rise more strongly.
Survey of Estimability Criteria, Connected Design and Testing Testable Hypotheses in Unbalanced Design Elfaki, Faiz AM; Russel, Edwin; Widiarti; Usman, Mustofa; Daoud, Jamal I.
Integra: Journal of Integrated Mathematics and Computer Science Vol. 2 No. 3 (2025): November
Publisher : Magister Program of Mathematics, Universitas Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26554/integrajimcs.20252343

Abstract

In the linear model Y = Xβ+ε with X having a full column rank, all β parameters can be estimated and the estimates are unique. However, in cases where X does not have a full column rank, not all β parameters can be estimated. In this paper, the problem to be discussed is how to determine parameters or parameter functions that are estimable and testable. Applications to the case of unbalanced data will be presented.
Co-Authors Arisman Adnan Daoud, Jamal I. Lindrianasari Mustofa Usman Russel, Edwin Wamiliana Widiarti