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Identifikasi model fungsi transfer menggunakan pemodelan arima otomatis gomez-maravall (Studi kasus pada inflasi Indonesia)

Transfer function model identification method that widely used is the
prewhitening method that proposed by Box and Jenkins (1976) but still ...

  • CodeCallNoLokasiKetersediaan
    01001100700152519.53 Jak i/.14.116Perpustakaan Pusat (REF.14.116)Tersedia
  • Perpustakaan
    Judul Seri
    -
    No. Panggil
    519.53 Jak i/.14.116
    Penerbit Magister Statistika Terapan : Bandung.,
    Deskripsi Fisik
    xii,;51hlm,;29 cm
    Bahasa
    Indonesia
    ISBN/ISSN
    -
    Klasifikasi
    519.53 Jak i/.14.116
    Tipe Isi
    -
    Tipe Media
    -
    Tipe Pembawa
    -
    Edisi
    -
    Subyek
    Automatic Modeling, ARIMA, Transfer Functions, Ide
    Info Detil Spesifik
    -
    Pernyataan Tanggungjawab
  • Transfer function model identification method that widely used is the
    prewhitening method that proposed by Box and Jenkins (1976) but still has
    several backward, such as subjectivity in determining ARIMA order of input, its
    noise and lag order of the transfer function.

    The purpose of this paper is to apply automatic modeling for ARIMA that
    proposed by Gomez-Maravall on the prewhitening method of transfer function
    identification that proposed by Box and Jenkins. The automatic mode ling means
    that the mode ling process is fully computerize include process to determine
    differencing order and ARMA order of both regular and seasonal model so can
    eliminate subjectivity element when investigating ACF, PACF plot in determining
    ARMA order.

    At the end of this paper, a case study on modeling of inflation with one
    input, one-month SBI interest rate, using the identification stage that has been
    applied automatic method on ARIMA modeling were done. The purpose of this
    modeling is to determine lag of the one-month SBI interest rate policy on
    inflation.

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