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INDONESIA
Indonesian Journal of Statistics and Its Applications
ISSN : 25990802     EISSN : 25990802     DOI : -
Core Subject : Science, Education,
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
Articles 192 Documents
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.
Bayesian-Structural Equation Modeling on Learning Motivation of Undergraduate Students During Covid-19 Outbreak Reny Rian Marliana; Maya Suhayati; Sri Bekti Handayani N.
Indonesian Journal of Statistics and Applications Vol 6 No 1 (2022)
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.v6i1p63-76

Abstract

The aim of this study is to explore the relationship model between e-learning readiness, self-directed learning readiness, and learning motivation of the students at STMIK Sumedang during the COVID-19 outbreak. Bayesian-Structural Equation Modeling and Markov Chain Monte Carlo Algorithm are used in the estimation of the parameters. The posterior distribution is formed using informative prior i.e., inverse-Gamma distribution on variance parameters, inverse-Wishart distribution on residual covariance, and normal distribution on other parameters of the model. The calculation is performed using the blavaan package on R-Software version 4.1.0 with 19000 iteration and 9000 samples of burn-in period. Data were taken from 214 samples of the students at STMIK Sumedang. The outcome from the calculation showed there is a significant effect from self-directed learning readiness to motivation learning of students and there is no significant effect from e-learning readiness to learning motivation. The direct effect on learning motivation is 7.25 from self-directed learning readiness and 0.045 from e-learning readiness.
Low Welfare Status Modeling Using Mixed Geographically Weighted Regression Method with Fixed Tricube Weighting Function: Pemodelan Status Sejahtera Rendah Menggunakan Metode Mixed Geographically Weighted Regression Dengan Fungsi Pembobot Fixed Tricube Yuliyanti, Tri; Siswanah, Emy; Nisa, Lulu Choirun
Indonesian Journal of Statistics and Applications Vol 6 No 2 (2022)
Publisher : Statistics and Data Science Program Study, IPB University, IPB University, in collaboration with the Forum Pendidikan Tinggi Statistika Indonesia (FORSTAT) and the Ikatan Statistisi Indonesia (ISI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v6i2p213-227

Abstract

Mixed Geographically Weighted Regression (MGWR) is a method for analyzing spatial data in regression that produces local and global parameters. Parameter estimation using WLS with a fixed tricube weighting function. The object of research in this study is poor population (X1), female household heads (X2), the education (X3), individuals with disabilities (X4), individuals having chronic disease (X5), individuals works (X6), uninhabitable houses (X7), and low welfare status (Y). This reseach applied to the low welfare status (Y) of each district/town in Central Java in 2019, and produced local variables are X1, X3, X5 and global variables are X2, X4, X6, and X7. However, only X1, X4, and X7 have a significant effect on Y in each district/town in Central Java, and X3 has a significant effect on only a few districts/cities, the other, X2, X5, and X6 have no significant effect on the model. The predictor variable has an effect of 98.92% on the model while the remaining 1.18% affected by other factors. The MGWR method divides 2 groups based on significant variables, (a) The first, a district/town whose low welfare status affected by X1, X3, X4, X7 covering Cilacap, Purbalingga, Kendal, Batang, Brebes, Pekalongan Town, and Tegal Town, (b) The second, districts/town whose low welfare status affected by X1, X4, X7 covering Banjarnegara, Purworejo, Temanggung, Kudus, Wonosobo, Pekalongan, Pemalang, Jepara, Wonogiri, Boyolali, Tegal, Magelang, Sukoharjo, Banyumas, Grobogan,  Klaten, Karanganyar,  Kebumen, Blora,  Semarang Town, Pati, Sragen, Demak, Magelang Town, Salatiga Town, Surakarta Town, Semarang, and Rembang.
Application of Fuzzy C-Means and Weighted Scoring Methods for Mapping Blankspot Villages in Pemalang Regency Imam Adiyana; I Made Sumertajaya; Farit M Afendi
Indonesian Journal of Statistics and Applications Vol 6 No 1 (2022)
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.v6i1p77-89

Abstract

Covid-19 pandemic affects habits people around the world. The education sector in Indonesia is also undergoing policy changes, namely policy of transitioning face-to-face teaching and learning process to distance learning process (PJJ/online learning). Several studies have been conducted to examine the constraints PJJ process, resulting in finding that quality of internet network is majority obstacle in PJJ process. Conditions where there is no internet network in an area is commonly called a blankspot. In order to minimize the problem of blankspots, President and Ministry of Communication and Informatics of Indonesia realized the program "Indonesia is free signals to the corners of the country". This program involves all districts in Indonesia to conduct network quality surveys in the smallest areas of the village.  Basically, network quality survey activities require relatively no small resources and costs. So as to conduct the efficiency of field survey activities, early detection of village blankspot status is required based on the characteristics blankspot village in general. While the commonly used method of grouping village based on village characteristics is the fuzzy c-means and weighted scoring method. These two methods were chosen because they have good cluster convergence rate and easily interpreted display results of the group by user in the form diagrams and scores. This study aims to prove that fuzzy c-means and weighted scoring method are good for grouping cases of blankspot villages according to previous studies with different cases. The result comparison goodness value of clustering, it is known that fuzzy c-means method more suitable for clustering characteristics blankspot village than the k-means method. Meanwhile, weighted scoring method cannot be said better method for village classification than the decision tree method.
Analysis of Covid-19 Risk Perception Survey Result Using Generalized Structured Component Analysis: Analisis Hasil Survei Persepsi Risiko Covid-19 Menggunakan Generalized Structured Component Analysis Robert, Zahira Rahvenia; Rizki, Akbar; Susetyo, Budi; Amir, Sulfikar
Indonesian Journal of Statistics and Applications Vol 6 No 2 (2022)
Publisher : Statistics and Data Science Program Study, IPB University, IPB University, in collaboration with the Forum Pendidikan Tinggi Statistika Indonesia (FORSTAT) and the Ikatan Statistisi Indonesia (ISI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v6i2p336-347

Abstract

The capital city of Indonesia, Jakarta, became the province with the highest number of Covid-19. Response this situation, LaporCovid-19 collaborate with the Social Resilience Lab, Nanyang Technological University conducted a survey to measure how Jakarta residents perceive the risk of Covid-19 from May 29 to June 20 2020. Factors of risk perception are variables that cannot be measured directly, so they are analyzed used a Structural Equation Modeling (SEM) approach, namely Generalized Structured Component Analysis (GSCA). The Likert scale used can be considered as interval or ordinal depending on the point of view of the theory built. Therefore, this study will compare the GSCA method with the nonlinear GSCA and evaluate six variables, namely risk perception, knowledge, information, health behavior , social capital, and economy. Evaluation of the overall model showed that the nonlinear GSCA model can explain the diversity of qualitative data better than the GSCA model with FIT > 0.9. Based on GSCA nonlinear model, information has significantly influence of knowledge, economy and social capital have a real reciprocal relationship, along knowledge and risk perception have significantly influence of health behavior.