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Department of Statistic, Faculty of Science and Mathematics , Universitas Diponegoro Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro Gedung F lt.3 Tembalang Semarang 50275
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Jurnal Gaussian
Published by Universitas Diponegoro
ISSN : -     EISSN : 23392541     DOI : -
Core Subject : Education,
Other
Jurnal Gaussian terbit 4 (empat) kali dalam setahun setiap kali periode wisuda. Jurnal ini memuat tulisan ilmiah tentang hasil-hasil penelitian, kajian ilmiah, analisis dan pemecahan permasalahan yang berkaitan dengan Statistika yang berasal dari skripsi mahasiswa S1 Departemen Statistika FSM UNDIP.
Arjuna Subject : -
Articles 13 Documents
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Search results for , issue "Vol 8, No 4 (2019): Jurnal Gaussian" : 13 Documents clear
ANALISIS KLASTER METODE WARD DAN AVERAGE LINKAGE DENGAN VALIDASI DUNN INDEX DAN KOEFISIEN KORELASI COPHENETIC (Studi Kasus: Kecelakaan Lalu Lintas Berdasarkan Jenis Kendaraan Tiap Kabupaten/Kota di Jawa Tengah Tahun 2018) Sisca Indah Pratiwi; Tatik Widiharih; Arief Rachman Hakim
Jurnal Gaussian Vol 8, No 4 (2019): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.8.4.486-495

Abstract

Based on Central Java Regional Police data, traffic accidents from 2017 to 2018 increased from 17.522 to 19.016 or 8,54 percent. To reduce the number of traffic accidents in Central Java, the initial step was carried out by grouping districts/cities that had the same accident level characteristics based on vehicle type with cluster analysis. The ward and average linkage method is a hierarchical cluster analysis method. ward method can maximize cluster homogeneity. While the average linkage method can generate clusters with small cluster variants. In this study using a measure of squared euclidean distance to measure the similarity between pairs of objects. To determine the quality of clustering results, the validation dunn index and cophenetic coefficients corelation are used. Based on the results of the clustering, the optimal number of clusters is obtained at q = 5 for the average linkage method with the results of validation dunn index = 0,08571196 and the rcoph = 0,687458. Keywords: Accidents, Cluster Analysis, Ward Method, Average linkage, Squared Euclidean Distance, Dunn Index, Cophenetic Correlation Coefficient
VALUE AT RISK PADA PORTOFOLIO SAHAM DENGAN COPULA ALI-MIKHAIL-HAQ Delsy Nurutsaniyah; Tatik Widiharih; Di Asih I Maruddani
Jurnal Gaussian Vol 8, No 4 (2019): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (650.45 KB) | DOI: 10.14710/j.gauss.v8i4.26754

Abstract

Investment is one alternative to increase assets in the future. Investors can invest in a portfolio to reduce the level of risk. Value at Risk (VaR) is a measuring tool that can calculate the worst loss over a given time period at a given confidence level. GARCH (Generalized Autoregressive Conditional Heteroskedasticity) is used to model data with high volatility. The teory of copula is a powerful tool for modeling joint distribution for any marginal distributions. Ali-Mikhail-Haq copula from Archimedean copula family can be applied to data with dependencies τ between -0.1817 to 0.3333. This research uses Ali-Mikhail-Haq copula with a Monte Carlo simulation to calculate a bivariate portfolio VaR from a combination stocks of PT Pembangunan Perumahan Tbk. (PTPP), PT Bank Tabungan Negara Tbk. (BBTN), and PT Jasa Marga Tbk. (JSMR) in the period of March 3, 2014 - March 1, 2019. The results of VaR calculation on bivariate portfolio for next 1 day period obtained the lowest VaR is owned by bivariate portfolio between PTPP and JSMR with a weight of 30% and 70% at confidence level of 99%, 95%, and 90% respectively are 4.014%, 2.545%, and 1.876%.Keywords: Value at Risk, GARCH, Ali-Mikhail-Haq Copula, Monte Carlo
REGRESI KOMPONEN UTAMA ROBUST S-ESTIMATOR UNTUK ANALISIS PENGARUH JUMLAH PENGANGGURAN DI JAWA TENGAH Jeffri Nelwin J. O. Siburian; Rita Rahmawati; Abdul Hoyyi
Jurnal Gaussian Vol 8, No 4 (2019): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (704.68 KB) | DOI: 10.14710/j.gauss.v8i4.26724

Abstract

Robust principal component regression s-estimator is principal component regression that applies robust approach method at principal component analysis and s-estimator at principal component regression analysis. The aim of robust principal component regression s-estimator is to overcome multicollinearity problems in multiple linier regression Ordinary Least Square (OLS) and to overcome outlier problems in principal component regression so get the most effective model. Minimum Volume Ellipsoid (MVE) is one of the robust approach methods that applied when doing principal component analysis and S-Estimator is one of the estimation methods that applied when doing principal component regression analysis. The case in this study is the factors that influence the Number of Unemployment in Central Java in 2017. The model that provides the most effective result to handling multicolliniearity and ouliers in the case study  Number of Unemployment in Central Java in 2017 is using robust principal component regression MVE-(S-Estimator) with Adjusted R2 value of 0.9615 and RSE value of 0.4073. Keywords: Robust Principal Component Regression S-Estimator, Multicollinearity, Outliers, Minimum Volume Ellipsoid (MVE), Number of Unemployment.

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