SUCI NINGRUM ANJASMARA , 1317031081 (2017) PENERAPAN METODE AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE (ARFIMA) DALAM PERAMALAN LAJU INFLASI DI INDONESIA. FAKULTAS MATEMATIKA DAN ILMU PENGETAAHUAN ALAM, UNIVERSITAS LAMPUNG.
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Abstract
ABSTRAK Model ARFIMA (Autoregressive Fractionally Integrated Moving Average) dikembangkan untuk memodelkan data berjangka panjang pada data runtun waktu dengan nilai differencing (d) bilangan real, -0,5 < d < 0,5. Penelitian ini bertujuan untuk meramalkan laju angka inflasi di Indonesia dengan metode ARFIMA. Parameter model diestimasi menggunakan Maximum Likelihood Estimation (MLE). Model terbaik yang diperoleh untuk data tersebut adalah model ARFIMA (1, d[0.443495],0). Dari model tersebut diprediksi bahwa akan ada kenaikan inflasi rata-rata 0,12% per bulan. Kata Kunci : ARFIMA, Jangka Panjang, Fractional Integrated. ABSTRACT ARFIMA (Autoregresive Fractionally Integrated Moving Average) model was developed to model the long memory in time series with differencing (d) as a real number, 0,5 < d < 0,5. The aims of this study are to forecast the rate of inflation in Indonesia using ARFIMA method. The model parameters are estimated by Maximum Likelihood Estimation (MLE). The best model for the data is ARFIMA (1, d[0.443495], 0). The model predicted that inflation will be increased 0,12% on average per month. Key words : ARFIMA, Long Memory, Fractional Integrated.
| Item Type: | Other |
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| Subjects: | Q Science (General) > QA Mathematics |
| Divisions: | Fakultas MIPA > Prodi Matematika |
| Depositing User: | 20165390 . Digilib |
| Date Deposited: | 07 Aug 2017 04:40 |
| Last Modified: | 07 Aug 2017 04:40 |
| URI: | http://digilib.unila.ac.id/id/eprint/27766 |
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