?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=PEMODELAN+MARKOV+SWITCHING+AUTOREGRESSIVE+(MSAR)%0D%0APADA+DATA+TIME+SERIES&rft.creator=AULIANDA+PRASYANTI+%2C+1317031012&rft.subject=QA+Mathematics&rft.description=Model+Markov+Switching+Autoregressive+(MSAR)+adalah+suatu+model+yang%0D%0Amenganalisis+perubahan+kondisi+fluktuasi+pada+data+time+series.+Data+time+series%0D%0Ayang+digunakan+pada+penelitian+ini+adalah+kurs+dollar+AS+terhadap+rupiah+pada%0D%0Atanggal+15+Mei+2016+sampai+20+Februari+2017.+Data+kurs+mempunyai+pergerakan%0D%0Aperubahan+kondisi+fluktuasi+yakni+apresiasi+dan+depresiasi.+Kondisi+apresiasi+dan%0D%0Adepresiasi+dianggap+suatu+variabel+yang+tidak+teramati+yang+disebut+dengan+state.%0D%0APada+penelitian+ini+estimasi+parameter+dilakukan+dengan+metode+Maximum%0D%0ALikelihood+Estimation+(MLE).+Namun%2C+pada+model+MSAR+terdapat+variabel+state%0D%0Adan+nilai+peluang+(+)+yang+tidak+dapat+diketahui+nilainya+dengan+metode+MLE%0D%0Asehingga+dilakukan+proses+filtering+dan+smoothing+terlebih+dahulu+untuk+mencari%0D%0Anilai+peluang+tersebut.+Model+MSAR+terbaik+yang+diperoleh+adalah+MS(2)AR(2)%0D%0Adengan+peluang+perpindahan+state+disajikan+dalam+matriks+transisi.+Dalam+model%0D%0AMSAR+dihitung+rata-rata+durasi+lama+state+apresiasi+bertahan+sebesar+15+hari+dan%0D%0Arata-rata+durasi+state+depresiasi+bertahan+sebesar+22+hari.%0D%0AKata+kunci+%3A+MSAR%2C+fluktuasi%2C+filtering%2C+smoothing%2C+peluang%0D%0A%0D%0Aabstarct%0D%0A%0D%0AMarkov+Switching+Autoregressive+(MSAR)+model+is+used+to+analyzes+changes+of%0D%0Afluctuation+conditions+in+time+series+data.+The+time+series+data+used+in+this+study%0D%0Aare+the+US+dollar+exchange+rate+with+respect+to+rupiah+from+May+15%2C+2016+to%0D%0AFebruary+20%2C+2017.+The+exchange+rate+values+are+fluctuative+toward+appreciation%0D%0Aand+depreciation.+The+condition+of+appreciation+and+depreciation+is+an+unobserved%0D%0Avariable+which+called+state.+In+this+research+the+method+of+estimation+is+Maximum%0D%0ALikelihood+Estimation+(MLE).+However%2C+in+the+MSAR+model+there+are+state%0D%0Avariables+and+transition+probability+(+)+is+not+known+and+estimated+by+filtering%0D%0Aand+smoothing.+The+best+MSAR+model+is+MS(2)AR(2)+with+the+chance+of+state%0D%0Adisplacement+presented+in+the+transition+matrix.+In+the+MSAR+model+it+was%0D%0Acalculated+the+expected+duration+of+the+state+of+appreciation+is+15+days+and+the%0D%0Aexpected+duration+of+the+depreciation+state+is+22+days.%0D%0AKeywords%3A+MSAR%2C+fluctuations%2C+filtering%2C+smoothing%2C+probability&rft.publisher=FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM&rft.date=2017-12-04&rft.type=Skripsi&rft.type=NonPeerReviewed&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F29692%2F1%2FABSTRAK.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F29692%2F2%2FSKRIPSI%2520FULL.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F29692%2F3%2FSKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN.pdf&rft.identifier=++AULIANDA+PRASYANTI+%2C+1317031012++(2017)+PEMODELAN+MARKOV+SWITCHING+AUTOREGRESSIVE+(MSAR)+PADA+DATA+TIME+SERIES.++FAKULTAS+MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM%2C+UNIVERSITAS+LAMPUNG.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F29692%2F