Historini, Diyah Meriana (2010) Pemodelan Mixture Autoregressive (MAR)Dengan Pendekatan Algoritma EM(Studi Kasus Pada Indeks Harga Saham Nikkei 225) - On Mixture Autoregressive Modelling Using EM Algorithms (Applied In Nikkei 225 Stock Exchange Index Stock Exchange Index). Masters thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Berbagai metode peramalan yang didasarkan atas asumsi kenormalan residual
telah banyak dikembangkan dalam analisis time series linier. Wong dan Li (2000)
menyatakan bahwa dalam kondisi riil, banyak ditemui data time series yang non
stasioner dalam mean yang cenderung membawa sifat multimodal. Sehingga
dikembangkan suatu model time series non linier yang berkaitan dengan sifat
multimodal data yang dikenal dengan model Mixture Autoregressive (MAR).
Model ini merupakan suatu model yang terdiri dari mixture K komponen Gaussian
Autoregressive (AR). Ada beberapa kelebihan dari model MAR, yaitu mampu
mengadaptasi sifat data yang fat tails, leptokurtik, platikurtik dan multimodal
serta mampu mengakomodir sifat kemiringan data. Pada penelitian ini dilakukan
kajian lebih lanjut berkaitan dengan model MAR dan estimasi parameter dengan
menggunakan algoritma EM serta aplikasinya pada data saham Nikkei 225.
Adapun model yang diperoleh adalah MAR(3; 3, 3, 3).
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Various forecasting method based on residual normality assumption have
developed in linear and nonlinear time series analysis. Wong and Li (2000) said
that in real condition, there are a lot of time series data which are not follow the
assumption of non-stationer in mean, couple with multimodality, skewness, and
leptokurtic. Recently developed nonlinear time series model, called Mixture
Autoregressive (MAR) dealing with some characteristics breaking the normality
assumption above, is proposed to be studied here. This model consists of K
components Autoregressive Gaussian. This research demonstrates the
implementation of EM Algorithm in estimating parameters to model Nikkei 225
Stock Exchange Index stock exchange index. The analysis shows that the data
follows MAR (3; 3, 3, 3).
| Item Type: | Thesis (Masters) |
|---|---|
| Additional Information: | RTSt 519.536 His p |
| Uncontrolled Keywords: | fat-tails, leptokurtik, Mixture Autoregressive, EM Algorithm, fat-tails, leptokurtic, Mixture Normal Autoregressive, EM Algorithm |
| Subjects: | Q Science > QA Mathematics > QA9.58 Algorithms |
| Divisions: | Faculty of Mathematics and Science > Statistics > 49101-(S2) Master Thesis |
| Depositing User: | ansi aflacha |
| Date Deposited: | 07 Jan 2019 07:35 |
| Last Modified: | 07 Jan 2019 07:35 |
| URI: | http://repository.its.ac.id/id/eprint/60140 |
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