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Department of Statistic, Faculty of Science and Mathematics , Universitas Diponegoro Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro Gedung F lt.3 Tembalang Semarang 50275
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Jurnal Gaussian
Published by Universitas Diponegoro
ISSN : -     EISSN : 23392541     DOI : -
Core Subject : Education,
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Jurnal Gaussian terbit 4 (empat) kali dalam setahun setiap kali periode wisuda. Jurnal ini memuat tulisan ilmiah tentang hasil-hasil penelitian, kajian ilmiah, analisis dan pemecahan permasalahan yang berkaitan dengan Statistika yang berasal dari skripsi mahasiswa S1 Departemen Statistika FSM UNDIP.
Arjuna Subject : -
Articles 733 Documents
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COPULA FRANK UNTUK PERHITUNGAN VALUE AT RISK PORTOFOLIO BIVARIAT PADA MODEL EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY Eka Anisha; Di Asih I Maruddani; Suparti Suparti
Jurnal Gaussian Vol 10, No 4 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i4.29932

Abstract

Stocks are one type of investment that promises return for investors but often carries a high risk. Value at Risk (VaR) is a measuring tool that can calculate the amount of the worst loss that occurs in a stock portfolio with a certain level of confidence and within a certain time period. In general, financial data have a high volatility value, which causes the residuals are not normally distributed. ARCH/GARCH modoel is used to solve the heteroscedasticity problem. If the data also have an asymmetric effect, it is modelled with Exponential GARCH model. Copula-Frank is part of the Archimedian copula which is used to solve empirical cases. The data on this study were BBCA and KLBF stock price return data in the observation period 30 December 2011 – 6 December 2019. Furthermore, to test the validity of the VaR model, a backtesting test will be carried out using the Kupiec Test. The results showed that the best model used for BBCA stocks was ARIMA (1,0,1) EGARCH (1,1) and for KLBF stocks was ARIMA (1,0,1) EGARCH (1,2). The amount of risk with a 95% confidence level used a combination of the EGARCH and Copula-Frank models was 2.233% of today's investment. Based on the backtesting test used the Kupiec Test, the VaR model of the portfolio obtained was declared valid.
VALUE AT RISK (VAR) METODE DELTA-NORMAL BERDASARKAN DURASI UNTUK UKURAN RISIKO OBLIGASI PEMERINTAH Setiani Setiani; Di Asih I Maruddani; Dwi Ispriyanti
Jurnal Gaussian Vol 10, No 3 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i3.32806

Abstract

A bond is one of invesment instrument that is basically a debt instrument. In investing, beside getting profit there is also the risk of loss. The risk of loss is unavoidable but it can be manageable. The concept of a portfolio in investing is to minimize risk. Value at Risk (VaR) is a method used to measure risk where VaR states the estimated amount of the maximum loss that will be obtained at a certain level of confidence during a certain period in normal market conditions. In this article the risk of bonds FR0053, FR0056, FR0059, FR0061 and portfolio combinations calculated with VaR value of the Delta-Normal method are calculated based on the duration of the bonds. Normality test of the bond market price return is required before calculating VaR. The results obtained if it is assumed that the bonds are purchased at a price of 100 and with a confidence level of 95%, then the portfolio that has the smallest risk is the Bond portfolio of FR0059 and FR0061 with a VaR value  Rp 21,436 (Trillions).  
GEOGRAPHICALLY WEIGHTED NEGATIVE BINOMIAL REGRESSION UNTUK MENANGANI OVERDISPERSI PADA JUMLAH PENDUDUK MISKIN Nova Delvia; Mustafid Mustafid; Hasbi Yasin
Jurnal Gaussian Vol 10, No 4 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i4.33106

Abstract

Poverty is a condition that is often associated with needs, difficulties an deficiencies in various life circumstances. The number of poor people in Indonesia increase in 2020. This research focus on modelling the number of poor people in Indonesia using Geographically Weighted Negative Binomial Regression (GWNBR) method. The number of poor people is count data, so analysis used to model the count data is poisson regression.  If there is overdispersion, it can be overcome using negative binomial regression. Meanwhile to see the spatial effect, we can use the Geographically Weighted Negative Binomial Regression method. GWNBR uses a adaptive bisquare kernel for weighting function. GWNBR is better at modelling the number of poor people because it has the smallest AIC value than poisson regression and negative binomial regression. While the GWNBR method obtained 13 groups of province based on significant variables.      
PEMODELAN REGRESI RIDGE ROBUST S,M, MM-ESTIMATOR DALAM PENANGANAN MULTIKOLINIERITAS DAN PENCILAN (Studi Kasus : Faktor-Faktor yang Mempengaruhi Kemiskinan di Jawa Tengah Tahun 2020) Anggun Perdana Aji Pangesti; Sugito Sugito; Hasbi Yasin
Jurnal Gaussian Vol 10, No 3 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i3.32799

Abstract

The Ordinary Least Squares (OLS) is one of the most commonly used method to estimate linier regression parameters. If there is a violation of assumptions such as multicolliniearity especially coupled with the outliers, then the regression with OLS is no longer used. One method can be used to solved the multicollinearity and outliers problem is Ridge Robust Regression.  Ridge Robust Regression is a modification of ridge regression method used to solve the multicolliniearity and using some estimators of robust regression used to solve the outlier, the estimator including : Maximum likelihood estimator (M-estimator), Scale estimator (S-estimator), and Method of moment estimator (MM-estimator). The case study can be used with this method is data with multicollinearity and outlier, the case study in this research is poverty in Central Java 2020 influenced by life expentancy, unemployment number, GRDP rate, dependency ratio, human development index, the precentage of population over 15 years of age with the highest education in primary school, mean years school. The result of estimation using OLS show that there is a multicollinearity and presence an outliers. Applied the ridge robust regression to case study prove that ridge robust regression can improve parameter estimation. The best ridge robust regression model is Ridge Robust Regression S-Estimator. The influence value of predictor variabels to poverty is 73,08% and the MSE value is 0,00791. 
PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB Umiyatun Muthohiroh; Rita Rahmawati; Dwi Ispriyanti
Jurnal Gaussian Vol 10, No 4 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i4.33098

Abstract

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).  
ANALISIS SENTIMEN ULASAN APLIKASI TIKTOK DI GOOGLE PLAY MENGGUNAKAN METODE SUPPORT VECTOR MACHINE (SVM) DAN ASOSIASI Sola Fide; Suparti Suparti; Sudarno Sudarno
Jurnal Gaussian Vol 10, No 3 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i3.32786

Abstract

Corona virus pandemic requires people to do activities from home so the number of internet usage in Indonesia has increased because information is carried out through social media. One of the popular social media in Indonesia is TikTok. However, the Tiktok’s popularity cannot be separated from the footsteps of TikTok in Indonesia which was blocked by government for committing many violations. Each application allows users to provide a review about the application. To find out the users TikTok’s sentiment, sentiment analysis was carried out to classify reviews into positive and negative sentiments. Classification is carried out using the Support Vector Machine (SVM) with kernel Radial Basis Function (RBF) method which is more effective classification algorithm and kernel function, seen from previous studies. The parameters used in the SVM gamma default 0.0004255 and the Cost (C) parameter experiment used is 0,01; 0,1; 1; 10; 100; 1000. The  results can provide information that can be retrieved using the association method. The steps are scrapping data, data preprocessing, sentiment scoring, TF-IDF weighting, classifying using the SVM RBF kernel method and text association. Evaluation of the model using a confusion matrix with the value of accuracy and kappa. The greater the value of accuracy and kappa, the better the performance of the classification model. The review classification resulted in the best accuracy rate of 90.62% and the best kappa of 81.24% which means that it includes an almost perfect classification result. Based on the data association, positive reviews are given because users like and are comfortable with the current version of TikTok which contains funny videos on fyp. Meanwhile, negative reviews were given because the user failed to register and his account was blocked, so the user asked TikTok to continue to make improvements.
PENERAPAN DIAGRAM KENDALI MAXIMUM MULTIVARIATE CUMULATIVE SUM (MAX-MCUSUM) PADA PENGENDALIAN KUALITAS PRODUK KACANG (Studi Kasus: Produk Kacang Garing di PT XY) Sintia Rizki Aprilianti; Tatik Widiharih; Sudarno Sudarno
Jurnal Gaussian Vol 10, No 4 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i4.30139

Abstract

Now, Statistical quality control be a particular concern to large companies.PT XY is one of the largest nut company in Indonesia that has implemented the quality standards of a product. Max-MCUSUM control chart becomes a tool that is graphically used to monitor and evaluate whether the process is under control or nut. Based on Cheng and Thaga (2005), Max-MCUSUM control chart takes precedence over detecting small shift based on average and variability in industry data. The quality characteristic of Kacang Garing will be variables, namely broken nut skin, bean seed 1, and foam nut skin. Max-MCUSUM control chart is controlled with the control limit (h) from ARL (Average Run Length) simulation of 370 is 429,69. ARL is an average of samples that need to be decribed before it goes out of control. The research continued with multivariate capability process with MCp worth 0,905 and MCpk worth 1,355. Those value indicates that Kacang Garing has met the quality specification stipulated by PT XY. Broken nut skin becomes the most dominant cause based on pareto chart and carried out analysis by using fishbone chart so that is known the main factor causing broken nut skin are machine, material, and method. 
PEMODELAN SISTEM ANTREAN PELAYANAN BUS JALUR BARAT TERMINAL TIRTONADI KOTA SURAKARTA DENGAN METODE BAYESIAN Nurul Khasanah; Sugito Sugito; Yuciana Wilandari
Jurnal Gaussian Vol 10, No 3 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i3.32807

Abstract

Tirtonadi is the largest bus station in Surakarta City. The departure line is devided into two lines, namely west line and east line. The west line serves buses to the west of Surakarta City. The number of buses that enter and leave the station every day causes bus queues. Modeling the queue system and analyzing the system performance measure aims to determine wether the bus service system is good or not. The queue system model is obtained by finding the distribution of arrival patterns and service patterns using the Bayesian method. This method is used because it combines the information from the current research and the prior information from the previous research. The queueing condition of the five lanes in the west line meets steady state conditions because the utility value is less than 1. The queue displant is First Come First Service (FCFS) with unlimited customers and unlimited calling sources. Based on the posterior distribution, the queue system of service bus is (GAMM/IG/1):(GD/∞/∞) for Solo-Jakarta-Bandung lane and Pedesaan lane, while for Solo-Purwokerto-Cilacap, Solo-Yogyakarta, and Solo-Semarang has the queue system (GAMM/GAMM/1):(GD/∞/∞). The queue system of service bus for each lane has good services based on the value of system performance measure. 
ANALISIS METODE BAYESIAN PADA SISTEM ANTREAN RAWAT JALAN DI RSUP Dr. KARIADI DENGAN DISTRIBUSI SAMPEL POISSON DAN GEOMETRIK Nur Azizah; Sugito Sugito; Hasbi Yasin
Jurnal Gaussian Vol 10, No 3 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i3.32801

Abstract

Hospital service facilities cannot be separated from queuing events. Queues are an unavoidable part of life, but they can be minimized with a good system. The purpose of this study was to find out how the queuing system at Dr. Kariadi. Bayesian method is used to combine previous research and this research in order to obtain new information. The sample distribution and prior distribution obtained from previous studies are combined with the sample likelihood function to obtain a posterior distribution. After calculating the posterior distribution, it was found that the queuing model in the outpatient installation at Dr. Kariadi Semarang is (G/G/c): (GD/∞/∞) where each polyclinic has met steady state conditions and the level of busyness is greater than the unemployment rate so that the queuing system at Dr. Kariadi is categorized as good, except in internal medicine poly. 
IMPLEMENTASI MODEL ACCELERATED FAILURE TIME (AFT) BERDISTRIBUSI LOG-LOGISTIK PADA PASIEN PENYAKIT JANTUNG BAWAAN Dwi Nooriqfina; Sudarno Sudarno; Rukun Santoso
Jurnal Gaussian Vol 10, No 4 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i4.33099

Abstract

Log-Logistic Accelerated Failure Time (AFT) model is survival analysis that is used when the survival time follows Log-Logistic distribution. Log-Logistic AFT model can be used to estimate survival time, survival function, and hazard function. Log-Logistic AFT model was formed by regressing covariates linierly against the log of survival time. Regression coefficients are estimated using maximum likelihood method. This study uses data from Atrial Septal Defect (ASD) patients, which is a congenital disease with a hole in the wall that separates the top of two chambers of the heart by using sensor type III. Survival time as the response variable, that is the time from patient was diagnosed with ASD until the first relapse and uses age, gender, treatment status (catheterization/surgery), defect size that is the size of the hole in the heart terrace, pulmonary hypertension status, and pain status as predictor variables. The result showed that variable gender, treatment status, defect size, pulmonary hypertension status, and pain status affect the first recurrence of ASD patients, so it is found that category of female, untreated patient, defect size ≥12mm, having pulmonary hypertension, having chest pain tend to have first recurrence sooner than the other category. 

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