PENDUGAAN PARAME TER MODEL AUTOREGRESSIVE PADA DERET WAKTU
DOI:
https://doi.org/10.25077/jmu.3.4.28-37.2014Abstract
Model deret waktu stokastik dikenal dengan model ARIMA. Model ARIMAterdiri dari model AR, MA dan ARMA. Model AR adalah bentuk regresi yang
menghubungkan suatu nilai pengamatan dengan nilai pengamatan masa lalunya pada
selang waktu tertentu. Dari hubungan tersebut, terdapat parameter model AR yang
akan diduga. Untuk pendugaan parameter dikhususkan untuk AR orde satu yang dinotasikan dengan AR(1) dan AR orde dua yang dinotasikan dengan AR(2). Pendugaan
parameter model AR(1) dan model AR(2) ini menggunakan metode momen, metode
kuadrat terkecil dan metode kemungkinan maksimum. Dari uraian ketiga metode pendugaan tersebut menghasilkan sistem persamaan Yule Walker dan diperoleh penduga
model AR dengan menyelesaikan penduga dari sistem persamaan Yule Walker. Rumus
yang diperoleh diterapkan pada dua contoh data.
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