Teknik Peramalan: Materi minggu kedelapan

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Teknik Peramalan Materi minggu kedelapan

• ? Model ARIMA Box-Jenkins
• ? Identification of STATIONER TIME SERIES
  ? Estimation of ARIMA model
  ? Diagnostic Check of
  ARIMA model
  ? Forecasting
• ? Studi Kasus Model ARIMAX (Analisis
  Intervensi, Fungsi Transfer dan Neural Networks)

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Estimation and Testing parameter ARIMA model
t-values and prob-values for testing parameter
model ARIMA
Parameters ARIMA model estimates
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Diagnostic Checking of ARIMA model white
noise residual
? Ljung-Box statistic for testing white noise
residual
ACF of residual
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Forecasting of ARIMA(p,d,q) model
? Forecasting of AR(1) model
or
? Forecasting of MA(1) model
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Example Daily readings of viscosity of Chemical
Product XB-77-5 Bowerman and OConnell,
pg. 471
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Example IDENTIFICATION step stationary,
ACF and PACF
Stationer time series
PACF
ACF
Dies down sinusoidal
Cuts off after lag 2
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Example ESTIMATION and DIAGNOSTIC CHECK step

Estimation and Testing parameter
Diagnostic Check (white noise residual)
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Example DIAGNOSTIC CHECK step Normality test
of residuals
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Example FORECASTING step
MINITAB output
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Calculation FORECASTING (FITS and FORECAST)
continued
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MINITAB command IDENTIFICATION Step
Plot Data ? stationarity data
ACF PACF data ? to find tentative
ARIMA model
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IDENTIFICATION Step Time Series Plot
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IDENTIFICATION Step ACF data
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IDENTIFICATION Step PACF data
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MINITAB command ESTIMATION, DIAGNOSTIC
CHECK FORECASTING Step
Estimation, Diagnostic Check and Forecasting
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MINITAB command Normality test for residual