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Journal : EKSAKTA: Journal of Sciences and Data Analysis

Identifikasi dan Estimasi Runtun Waktu Model AR Menggunakan Algoritma Simulated Annealing Abdul Taram; suparman suparman
EKSAKTA: Journal of Sciences and Data Analysis VOLUME 11, ISSUE 2, August 2010
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam

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Abstract

When fitting a Autoregressive (AR) model to real data, the correct model order and the model parameter often unknown. Our aim is to find estimators of the order and the parameter based on the data. In this paper the model identification and parameter estimation for AR model is posed within a Bayesian framework. Within this framework the unknown order and parameter are assumed to be distributed according to a prior distribution, which incorporates all the available information about the process. All the information concerning the order andparameter characterising the model is then contained in the posterior distribution. Obtaining the posterior model order probabilities and the posterior model parameter probabilitiesrequires integration of the resulting posterior distribution, an operation which is analytically intractable. Here stochastic simulated annealing algorithm is developed to perform therequired integration by simulating from the posterior distribution. The methods developed are evaluated in simulation studies on number of synthetic and real data sets.Keywords : simulated annealing, autoregressive, order identification, parameter estimation.
Prediction Using Distributed Lagged Subset Model Suparman Suparman
EKSAKTA: Journal of Sciences and Data Analysis VOLUME 12, ISSUE 1, February 2011
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam

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Abstract

This  article  examines  the  problem  of  determining  the  future  value  of  the  dependent variable in the distributed lagged subset model. Unlike a distributed lag model in general, which assumes that all coefficients are not zero. In a distributed lagged subset model, some coefficients may be zero. The purpose of  this  study was  to determine  the predictive value of  the dependent variable in a distributed lagged subset model. The approach used to estimate the parameters of a distributed lagged subset model is the least square method and Ck statistic. Least squares method is used to determine the estimators of the coefficient of a distributed lagged subset model. Ck Statistic is used to select the best distributed lagged subset model. Some  simulations are delivered and prove  the efficiency of  this approach. Furthermore, this approach is implemented in real economic data.  Keywords : Distributed lagged subset model, Prediction, Least square method, Ck Statistic.  
Segmentasi Bayesian Hirarki Untuk Model Ma Konstan Sepotong Demi Sepotong Berbasis Algoritma Reversible Jump Mcmc Suparman Suparman
EKSAKTA: Journal of Sciences and Data Analysis VOLUME 11, ISSUE 1, February 2010
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam

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Abstract

This paper addresses the problem of the signal segmentation within a hierarchical Bayesian framework by using reversible jump MCMC sampling. The signal is modelled by piecewise constant MA processes where the numbers of segments, the position of abrupt, the order and the coefficients of  the MA processes for each segment are unknown. The reversible jump MCMC algorithm is then used to generate samples distributed according to the joint posterior distribution of the unknown parameters. These samples allow to compute some interesting features of the a posterior distribution. Main advantage of the algorithm reversible jump MCMC algorithm is produce the joint estimators for the parameter and hyper parameter in hierarchical Bayesian.  The performance of the this methodology is illustrated via several simulation results.   Keywords :     Hierarchical Bayesian model, Reversible Jump MCMC methods, Signal  Segmentation, piecewise constant Moving-Average (MA) processes
Co-Authors abd rizky fauzy r Abdul Taram Amanda Kania Diandini Andi saharuddin Ardiansa Ardiansa Arif Efendi A.S Arsi Arsi Arum Setiawan Ayunda Gustiani Putri Badjuri Badjuri Bintang Siti Fadilah Budiharto Budiharto Chairil Anwar Chumidach Roini Dadang Rosmana Dewi Anggraeni Dife Nur Tiara Dimas Deworo Puruhito Diniatik Diniatik Dody Safnul Effendy Effendy Elfita Elfita ELIHAMI, ELIHAMI Eny Dwi Lestariningsih Erise Anggraini Fadhil Yazid Fahyudi Kabir Hamdan Alawi hanifa zakiah muslimah Harman Hamidson Harmini, Harmini Hasan Hamid hasbi hasbi I.G.P. Wigena Ibnu Amar Ibrahim Ibrahim Ichwannudin Ichwannudin Ichwanuddin Ichwanuddin Ira Dwi Rachmani Judiono Judiono Kalvin Albert Parinding Kasni Astutik Khodijah Khodijah KHOIRUL ANWAR Ksatriyo Pinandito Kusbianto Kusbianto Laendatu Paembonan Limatahu, Iqbal M Natsir Rahman M. A. Firmansyah Marieska Verawaty Mimma Gustianingtyas Mira Mutiyani Mochamad Nasrullah Monica Alesia Muchtar, Achmad Dahlan Muzakir Netti Aryani Niar Niar Niku Saputra Novrian Novrian Nuraeni Dwi Dharmawati Nurcahyanie, Yunia Dwie Nuryanti Nuryanti Priska Natasya Putiryani S Putriyani S Putriyani S. Rahmat Rahmat Rais Firlando Razman Razak Rois Arifin Saidang Saidang SITI HERLINDA Siti Zubaidah Sofi Siti Selviyanti Soleha Soleha Sri Kadarwati Subowo Subowo SUHARYANTO SUHARYANTO Suherman suherman Sukri Sukri Suwandi Suwandi Titik Andayani Tri Rusti Marlina Triyansyah Triyansyah Triyono Triyono Wahyuningsih Wahyuningsih YULIA PUJIASTUTI Yunita Yunita Yunus Busa