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Indonesian Journal of Statistics and Its Applications
Published by Institut Pertanian Bogor
ISSN : 25990802     EISSN : 25990802     DOI : -
Core Subject : Science, Education,
Computer Science & IT Mathematics Other
Indonesian Journal of Statistics and Its Applications (eISSN:2599-0802) (formerly named Forum Statistika dan Komputasi), established since 2017, publishes scientific papers in the area of statistical science and the applications. The published papers should be research papers with, but not limited to, the following topics: experimental design and analysis, survey methods and analysis, operation research, data mining, statistical modeling, computational statistics, time series and econometrics, and statistics education. All papers were reviewed by peer reviewers consisting of experts and academicians across universities and agencies
Arjuna Subject : Matematika - Statistik dan Probabilitas
Articles 16 Documents
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Search results for , issue "Vol 5 No 2 (2021)" : 16 Documents clear
LQ45 Stock Portfolio Selection using Black-Litterman Model in Pandemic Time Covid-19 Siska Yosmar; S Damayanti; S Febrika
Indonesian Journal of Statistics and Applications Vol 5 No 2 (2021)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v5i2p343-354

Abstract

The world was shocked by the emergence of a virus that spread very quickly to several countries including Indonesia at the end of 2019. This virus infection is called Corona Virus Disease 2019 (Covid-19). The outbreak of Covid-19 not only threatens human lives but also disrupts various economic, financial, and business activities, especially in Indonesia. A stock portfolio is a collection of financial assets in a unit that is held or created by an investor, investment company, or financial institution. The Black-Litterman model of the stock portfolio is a portfolio model that involves the CAPM equilibrium return and investor views. The purpose of this study is to determine the stock portfolio with the Black-Litterman model using company data listed in the LQ45 stock index from January 2020 to June 2020. Four of the twenty-nine LQ45 stocks were selected as assets in the stock portfolio. The stock portfolio containing the four stocks, namely ICBP, KLBF, MNCN, and TLKM with the Black-Litterman model resulted in an expected return of 2.07% and a risk of 2.82%.
Nowcasting Indonesia's GDP Growth Using Machine Learning Algorithms Nadya Dwi Muchisha; Novian Tamara; Andriansyah Andriansyah; Agus M Soleh
Indonesian Journal of Statistics and Applications Vol 5 No 2 (2021)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v5i2p355-368

Abstract

GDP is very important to be monitored in real time because of its usefulness for policy making. We built and compared the ML models to forecast real-time Indonesia's GDP growth. We used 18 variables that consist a number of quarterly macroeconomic and financial market statistics. We have evaluated the performance of six popular ML algorithms, such as Random Forest, LASSO, Ridge, Elastic Net, Neural Networks, and Support Vector Machines, in doing real-time forecast on GDP growth from 2013:Q3 to 2019:Q4 period. We used the RMSE, MAD, and Pearson correlation coefficient as measurements of forecast accuracy. The results showed that the performance of all these models outperformed AR (1) benchmark. The individual model that showed the best performance is random forest. To gain more accurate forecast result, we run forecast combination using equal weighting and lasso regression. The best model was obtained from forecast combination using lasso regression with selected ML models, which are Random Forest, Ridge, Support Vector Machine, and Neural Network.
Clustering with Euclidean Distance, Manhattan - Distance, Mahalanobis - Euclidean Distance, and Chebyshev Distance with Their Accuracy Said Al Afghani; Widhera Yoza Mahana Putra
Indonesian Journal of Statistics and Applications Vol 5 No 2 (2021)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v5i2p369-376

Abstract

There are several algorithms to solve many problems in grouping data. Grouping data is also known as clusterization, clustering takes advantage to solve some problems especially in business. In this note, we will modify the clustering algorithm based on distance principle which background of K-means algorithm (Euclidean distance). Manhattan, Mahalanobis-Euclidean, and Chebyshev distance will be used to modify the K-means algorithm. We compare the clustered result related to their accuracy, we got Mahalanobis - Euclidean distance gives the best accuracy on our experiment data, and some results are also given in this note.
Ensemble Learning For Television Program Rating Prediction Iqbal Hanif; Regita Fachri Septiani
Indonesian Journal of Statistics and Applications Vol 5 No 2 (2021)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v5i2p377-395

Abstract

Rating is one of the most frequently used metrics in the television industry to evaluate television programs or channels. This research is an attempt to develop a prediction model of television program ratings using rating data gathered from UseeTV (interned-based television service from Telkom Indonesia). The machine learning methods (Random Forest and Extreme Gradient Boosting) were tried out utilizing a set of rating data from 20 television programs collected from January 2018 to August 2019 (train dataset) and evaluated using September 2019 rating data (test dataset). Research results show that Random Forest gives a better result than Extreme Gradient Boosting based on evaluation metrics: Root Mean Square Error (RMSE), Mean Absolute Error (MAE), and Mean Absolute Percentage Error (MAPE). On the training dataset, prediction using Random Forest produced lower RMSE and MAE scores than Extreme Gradient Boosting in all programs, while on the testing dataset, Random Forest produced lower RMSE and MAE scores in 16 programs compared with Extreme Gradient Boosting. According to MAPE score, Random Forest produced more good quality prediction (4 programs in the training dataset, 16 programs in the testing dataset) than Extreme Gradient Boosting method (1 program in the training dataset, 12 programs in the testing dataset) both in training and testing dataset.
Classification of Bidikmisi Scholarship Acceptance using Neural Network Based on Hybrid Method of Genetic Algorithm N Cahyani; Sinta Septi Pangastuti; K Fithriasari; Irhamah Irhamah; N Iriawan
Indonesian Journal of Statistics and Applications Vol 5 No 2 (2021)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v5i2p396-404

Abstract

A Neural network is a series of algorithms that endeavours to recognize underlying relationships in a set of data through processes that mimic the way human brains operate. In the case of classification, this method can provide a fit model through various factors, such as the variety of the optimal number of hidden nodes, the variety of relevant input variables, and the selection of optimal connection weights. One popular method to achieve the optimal selection of connection weights is using a Genetic Algorithm (GA), the basic concept is to iterate over Darwin's evolution. This research presents the Neural Network method with the Backpropagation Neural Network (BPNN) and the combined method of BPNN with GA, where GA is used to initialize and optimize the connection weight of BPNN. Based on accuracy value, the BPNN method combined with GA provides better classification, which is 90.51%, in the case of Bidikmisi Scholarship classification in East Java.
Estimation of Value at Risk by Using GJR-GARCH Copula Based on Block Maxima Hasna Afifah Rusyda; Fajar Indrayatna; Lienda Noviyanti
Indonesian Journal of Statistics and Applications Vol 5 No 2 (2021)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v5i2p405-414

Abstract

This paper will discuss the risk estimation of a portfolio based on value at risk (VaR) using a copula-based asymmetric Glosten – Jagannathan – Runkle - Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH). There is non-linear correlation for dependent model structure among the variables that lead to the inaccurate VaR estimation so that we use copula functions to model the joint probability of large market movements. Data is GEV distributed. Therefore, we use Block Maxima consisting of fitting an extreme value distribution as a tail distribution to count VaR. The results show VaR can estimate the risk of portfolio return reasonably because the model has captured the data properties. Data volatility can be accommodated by GJR-GARCH, Copula can capture dependence between stocks, and Block maxima can accommodate extreme tail behavior of the data.

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