ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIER
The inflation data is one of the financial time series data which often has high volatility. It is caused by the presence of outliers in the data. Therefore, it is necessary to analyze forecasting that can make all the assumptions are fulled without having to ignore the presence of outliers. The aim...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Diponegoro
2015-06-01
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| Series: | Media Statistika |
| Online Access: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/9198 |
| _version_ | 1828443127459872768 |
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| author | Suparti Suparti Alfi Faridatus Sa'adah |
| author_facet | Suparti Suparti Alfi Faridatus Sa'adah |
| author_sort | Suparti Suparti |
| collection | DOAJ |
| description | The inflation data is one of the financial time series data which often has high volatility. It is caused by the presence of outliers in the data. Therefore, it is necessary to analyze forecasting that can make all the assumptions are fulled without having to ignore the presence of outliers. The aim of this study is analyzing the inflation data in Indonesia using ARIMA model with the outlier detection. By modeling annual inflation data in December 2006 to December 2013 there are two types of outlier that are additive outlier (AO) and level shift (LS) outlier. The results show that The ARIMA model with the addition of outlier are better than the ARIMA model without outlier. The ARIMA ([1.12], 1.0) model with the addition of 19 outliers meet to the all assumptions that are the significance parameters, normality, homoscedasticity, and independence of residuals as well as the smallest MSE value.
Keywords: Inflation, ARIMA, Outlier, MSE |
| first_indexed | 2024-12-10T21:24:42Z |
| format | Article |
| id | doaj.art-3672896bb12c429e9df2690b49bdf9e1 |
| institution | Directory Open Access Journal |
| issn | 1979-3693 2477-0647 |
| language | English |
| last_indexed | 2024-12-10T21:24:42Z |
| publishDate | 2015-06-01 |
| publisher | Universitas Diponegoro |
| record_format | Article |
| series | Media Statistika |
| spelling | doaj.art-3672896bb12c429e9df2690b49bdf9e12022-12-22T01:33:02ZengUniversitas DiponegoroMedia Statistika1979-36932477-06472015-06-018111110.14710/medstat.8.1.1-117695ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIERSuparti Suparti0Alfi Faridatus Sa'adah1Departemen Statistika, Fakultas Sains dan Matematika, Universitas DiponegoroDepartemen Statistika, Fakultas Sains dan Matematika, Universitas DiponegoroThe inflation data is one of the financial time series data which often has high volatility. It is caused by the presence of outliers in the data. Therefore, it is necessary to analyze forecasting that can make all the assumptions are fulled without having to ignore the presence of outliers. The aim of this study is analyzing the inflation data in Indonesia using ARIMA model with the outlier detection. By modeling annual inflation data in December 2006 to December 2013 there are two types of outlier that are additive outlier (AO) and level shift (LS) outlier. The results show that The ARIMA model with the addition of outlier are better than the ARIMA model without outlier. The ARIMA ([1.12], 1.0) model with the addition of 19 outliers meet to the all assumptions that are the significance parameters, normality, homoscedasticity, and independence of residuals as well as the smallest MSE value. Keywords: Inflation, ARIMA, Outlier, MSEhttps://ejournal.undip.ac.id/index.php/media_statistika/article/view/9198 |
| spellingShingle | Suparti Suparti Alfi Faridatus Sa'adah ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIER Media Statistika |
| title | ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIER |
| title_full | ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIER |
| title_fullStr | ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIER |
| title_full_unstemmed | ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIER |
| title_short | ANALISIS DATA INFLASI INDONESIA MENGGUNAKAN MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DENGAN PENAMBAHAN OUTLIER |
| title_sort | analisis data inflasi indonesia menggunakan model autoregressive integrated moving average arima dengan penambahan outlier |
| url | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/9198 |
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