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Media Statistika

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Published by Universitas Diponegoro

ISSN : - EISSN : 24770647 DOI : -

Core Subject : Science,

Decision Sciences, Operations Research & Management

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Articles 271 Documents

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PENGKONSTRUKSIAN KURVA YIELD DENGAN METODE NELSON SIEGEL SVENSSON (Studi Kasus Data Obligasi Pemerintah) Setyawati, Winda; Hoyi, Abdul
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Bond is one of fixed-income investment instruments because of their income granted a return for investor based on the interest rates predetermined. The level of cash that returns to the investors and factor which must be considered by investor before invest bond is called yield. The term stucture of interest rates gives the relationship between the yield on an investment and the time to maturity of the investment. The graphic depiction of the relationship between the yield on bonds in the different maturities is known as the yield curve. The yield curve contruction of the government bond with bond ID is FR (Fixed Rate) by Nelson Siegel Svensson models on the trade date 16 on February 2011. The data is obtained from Indonesian Stock Exchange (IDX). The parameter estimation is done by ordinary least square. The optimation function for its estimation is done by Nelder Mead simplex. Yield curve on day 16 depicted upward sloping. Â Keywords : Government Bond, Yield Curve, Fixed Rate, Nelson Siegel Svensson, Nelder Mead Simplex

EXPECTED SHORTFALL DENGAN SIMULASI MONTE-CARLO UNTUK MENGUKUR RISIKO KERUGIAN PETANI JAGUNG Rita Rahmawati; Agus Rusgiyono; Abdul Hoyyi; Di Asih I Maruddani
MEDIA STATISTIKA Vol 12, No 1 (2019): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

In risk management, risk measurement plays an important role in allocating capital as well as in controlling (and avoiding) worse risk. Estimating the risk value can be done by using a risk measure. The most popular method for evaluating risk is Value at Risk (VaR). But VaR does not fulfill the coherency as a measure of risk effectiveness. In this paper, we propose Expected Shortfall (ES) which has coherency nature. ES is defined as the conditional expectation of losses beyond VaR of the same confidence level over the same holding period. For measuring ES, we use Monte-Carlo Simulation Method. This method is applied for measuring risk that will be faced by corn’s farmers due to the changes in corn prices in Pemalang city. The results show that the ES value is 0.085472 at 95% confidence level and one-month holding period. This number means that a farmer will face 8.5472% of investment as maximum loss exceeding of VaR.

IDENTIFIKASI POLA DISTRIBUSI CURAH HUJAN MAKSIMUM DAN PENDUGAAN PARAMETERNYA MENGGUNAKAN METODE BAYESIAN MARKOV CHAIN MONTE CARLO Mukid, Moch. Abdul; Wilandari, Yuciana
MEDIA STATISTIKA Vol 5, No 2 (2012): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

especially for the management of regional water resources. In this study, we not only identify the distribution of maximum rainfall,Â but also estimate the parameter of its distribution. The research was conducted in theÂ Grobogan District. Maximum rainfall in the district of Grobogan from 2006 to July 2012 was very varied, but over the years have a pattern unlikely to change.Â Highest maximum rainfall ranged in December, January, February and March while the lowest rainfall maskimum normally be in June, July and August.Â By using the Kolmogorov-Smirnov test on the significance level of 5% is known that the maximum rainfall from 2006 to 2012 in the District Grobogan follow a normal distribution with a value ofÂ D statistics is 0.089.Â This statistic produces a significance value â€‹â€‹of 0.518. By using the Bayesian Markov Chain Monte Carlo obtained the value for the parameter mean of normal distribution is 46.269 mm with a standard error reach into 4.005 mm.

Perbandingan Model Estimasi Artificial Neural Network Optimasi Genetic Algorithm dan Regresi Linier Berganda Sebayang, Jimmy Saputra; Yuniarto, Budi
MEDIA STATISTIKA Vol 10, No 1 (2017): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Multiple Linear Regression is a statistical approach most commonly used in performing predictive data modeling. One of the methods that can be used in estimating the parameters of the model on Multiple Linear Regression is Ordinary Least Square. It has classical assumptions requirements and often the assumptions are not satisfied. Another method that can be used as an alternative data modeling is Artificial Neural Network. It is Â a free-distribution estimator because there's no assumptions that have to be satisfied.Â However, modeling data using ANN has some problems such as selection of network topology, learning parameters and weight initialization. Genetic Algorithm method can be used to solve those problems. A set of simulation data was generated to test the reliability of ANN-GA model compared to Multiple Linear Regression model. Model comparison experiments indicate that ANN-GA model are better than Multiple Linear Regression model for estimating simulation data both on the data training and data testing.Keywords:Neural Network, Genetic Algorithm, Ordinary Least Square

PENERAPAN GRAFIK PENGENDALIAN DEMERIT TERHADAP DATA KUALITATATIF Rusgiyono, Agus
MEDIA STATISTIKA Vol 2, No 1 (2009): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

A product is represented as inappropriate considered into minor category up to critical, which than given by weight at characteristic of the inappropriate as a according to its importance level. Ploting all amount of inappropriate at one controller graph regardless of type will mislead. To solve it used by graph controller of demerit. Analysis step represent one of the operational step in program operation of quality with a purpose to understand stability and capability of proces wich underway. Expectation of phase analyse can identify the root problem that caused incidence of variation of quality so that can be continued to repair phase. To understand the stability and capability of process which underway can be depicted with controller graph and analysis its. At this article will be studied demerit graph controller and analysis of capability at data qualitative. Keyword : Stability, Capability and Weighted Graph Controller Â

PERBANDINGAN METODE REGRESI LINIER MULTIVARIABEL DAN REGRESI SPLINE MULTIVARIABEL DALAM PEMODELAN INDEKS HARGA SAHAM GABUNGAN Ihdayani Banun Afa; Suparti Suparti; Rita Rahmawati
MEDIA STATISTIKA Vol 11, No 2 (2018): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

The composite stock price index or Indonesia Composite Index (ICI) is a composite index of all stocks listed on the Indonesia Stock Exchange and its movements indicate conditions that occur in the capital market. For investors, the ICI movement is one of the important indicator to make a decision whether the stocks will be sold, held or bought new shares. The ICI movement (y) was influenced by several factors including Inflation (x1), Exchange Rate (x2) and SBI interest rate (x3). This study aims to compare the ICI modeling using the parameric and nonparametric approaches, namely multivariable linear regression and multivariable spline regression. Determination of the better model is based on the smaller MSE and the larger R2. The best regression model is multivariable spline regression with x1, x2 and x3, each with a sequence orde (3,2,2) and the number of knot points (1,2,2).Keywords: Indonesia Composite Index, Multiple Linear Regression, Multivariable Spline Regression, MSE, R2

UJI STASIONERITAS DATA INFLASI DENGAN PHILLIPS-PERON TEST Maruddani, Di Asih I; Tarno, Tarno; Anisah, Rokhma Al
MEDIA STATISTIKA Vol 1, No 1 (2008): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

The classical regression model was devised to handle relationships between stationary variables. It should not be applied to nonstationary series. A time series is therefore said to be stationary is its mean, variance, and covariances remain constant over time. A problem associated with nonstationary variables, and frequently faced by econometricians when dealing with time series data, is the spurious regression. An apparent indicator of such spurious regression was a particularly low level for the Durbin-Watson statistics, combined with an acceptable R2. Statistical test for stationarity have proposed by Dickey and Fuller (1979). The distribution theory supporting the Dickey-Fuller test assumes that the errors are statistically independent and have a constant variance. Phillips and Peron (1988) developed a generalization of the Dickey-Fuller procedure that the error terms are correlated and not have constant variance. In this paper, we use Phillips-Peron test for inflation data in Indonesia for the time period 1996-2003. The data showed upward trend and the error terms are correlated. The empirical results showed that the inflation data in Indonesia is a nonstationary series. Â Keywords : stationarity, non autocorrelation, Phillips-Peron Test, inflation

BIPLOT UNTUK MENGETAHUI KARAKTERISTIK KABUPATEN/KOTA DI JAWA TENGAH BERDASARKAN PRODUKSI BAWANG PUTIH, BAWANG MERAH, CABE BESAR DAN CABE RAWIT Safitri, Diah; Suparti, Suparti; Pratiwi, Esti; Estiningrum, Tyas
MEDIA STATISTIKA Vol 7, No 1 (2014): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Biplot is a graphical representation of a data matrix. Garlic, onions, chili, and thai pepper are important plant in Indonesia because most people in Indonesia especially in Central Java consume garlic, onions, chili, and thai pepper every day. In this research, districts in Central Java seen characteristics are based on the productions of garlic, onions, chili, and thai pepper using biplot. There are highly correlation between chili and thai pepper, which means districts that have highly productions of chili will also tend to have highly production of thai pepper. There are some districts have the production ofÂ garlic, onions, chili, and thai pepper relatively low, and there are some of the city has zero production ofÂ garlic, onions, chili, and thai pepper. Â Keywords: Biplot, Production ofÂ garlic, onions, chili, thai pepper

ANALISIS KECELAKAAN LALU LINTAS DI KOTA SEMARANG MENGGUNAKAN MODEL LOG LINIER Wilandari, Yuciana; Sugito, Sugito; Silvia, Candra
MEDIA STATISTIKA Vol 9, No 1 (2016): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Traffic accident is an event in the unanticipated and unintended involve vehicles with or without other road users, resulting in losses and/or loss of property. According Polrestabes Semarang number of traffic accidents decreased in 2014 compared to 2013, but the figure is still considered high. Therefore we need an analysis of traffic accident cases, in this case using a log linear models. Log linear models used to analyze the relationship between the response variables that are categories that make up the contingency table and determine which variables are likely to cause depedensi. In this study, the variable used is the severity of the victim, the type of accident, the role of the victim, the victim vehicle type, time of the accident and the age of the victim. The results indicate that the variables that affect the model is the severity of the victim, the type of accident, the role of the victim, the type of vehicle the victim, time of the accident, the age of the victim, the role of the victim * type of vehicle the victim, the type of accident * the role of the victim, the type of vehicle the victim * age of the victim, the type of accident * type of vehicle the victim, the severity of the victim * type of accident, type of accident * age of the victim. So that raises the most variable attachment is a type of accident.Â Keywords : Traffic Accident, Log Linear Model

PENANGANAN OVERDISPERSI PADA MODEL REGRESI POISSON MENGGUNAKAN MODEL REGRESI BINOMIAL NEGATIF Simarmata, Rio Tongaril; Ispriyanti, Dwi
MEDIA STATISTIKA Vol 4, No 2 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Poisson regression is the most popular tool for modeling the relationship between a discrete data in the response variable and a set of predictors with continue, discrete, categoric or mix data. Response variable with discrete data, however, may overdispersed or underdispersed, not conductive to Poisson regression which assumed that the mean value equals to varianceÂ (equidispersed). One of the model that be used to overdispersed the discrete data is a regression model based on mixture distribution namely Poisson-gamma mixture which result negative binomial distribution. This regression model usually known as binomial negative regression. Using Generalized Linier Model (GLM) approach, the given model, parameter estimate, diagnostics, and interpretation of negative binomial regression can be determined. Â Keyword: Negative Binomial Distribution, Dispersion, Generalized Linier Model

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