Analisis Deret Waktu: Materi minggu kedua

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Pendahuluan
Nave Models dan Moving Average Methods

Exponential Smoothing Methods

Regresi dan Trend Analysis

Regresi Berganda dan Time Series Regresi
Metode Dekomposisi
Model ARIMA Box-Jenkins
Studi Kasus : Model ARIMAX (Analisis Intervensi,
Fungsi Transfer dan Neural Networks)

Referensi Utama

. Hanke, J.E. and Reitsch, A.G. (1995 & 2001)

Business Forecasting
5th and 7th edition,
Prentice Hall.
Chapter 4: Exploring Data Pattern

Measuring Forecasting Error

Chapter 5: Moving Average and Smoothing

Methods

Nave Models

Averaging Methods

Exponential Smoothing Methods

Kaitan Pola Data dengan Metode

Peramalan
Time Series Patterns
Stationer

Nave Model

Simple
Averages

Moving
Averages
Single
Exponential
Smoothing

Trend Effect

Seasonal Effect

Nave Model

Double
Moving
Averages
Double
Exponential
Smoothing

Trend and
Seasonal

Nave Model

Winters Model

Nave Model

The recent periods are the best predictors of the future.

1. The simplest model for stationary data is

Yt 1 Yt

2. The simplest model for trend data is

Yt 1 Yt (Yt Yt 1 )

or

Yt

Yt 1 Yt
Yt 1

3. The simplest model for seasonal data is

Yt 1 Y(t 1) s

MINITAB
implementation

Time Series Plot

MINITAB implementation
(continued)

Nave
1

Nave
2

Nave 3

MINITAB implementation
(continued)

Nave
1

Nave
2
Nave 3

MINITAB implementation
(continued)

Nave
1

Nave
2
Nave 3

MSE.1 = 28547.5, MSE.2 = 53592.5, MSE.3 =

4567.5

Measuring Forecasting Error

MSE/MSD (mean squared error)

rata-rata kuadrat kesalahan (residual atau error).
MAD (mean absolute deviation)
ukuran kesalahan peramalan dalam unit ukuran
yang
sama dengan data aslinya.
MAPE (mean absolute percentage error)
persentase kesalahan absolut rata-rata.
MPE (mean percentage error)
persentase kesalahan rata-rata.

Average Methods

1. Simple Averages
obtained by finding the mean for all the relevant
values and
then using this mean to forecast
the next period.
n Y

Yt 1

t 1

for stationary
data

2. Moving Averages
obtained by finding the mean for a specified set of
values
(Yt and
Yt 1 then
using
Yt n 1 ) this mean to

for stationary
forecastMthe
t Ynext
t 1 period.

data

Average Methods
(continued)

3. Double Moving Averages

one set of moving averages is computed, and then a
second set
is computed as a moving average of
the first set.
(Yt Yt 1 Yt n 1 )

M t Yt 1

n
( M t M t 1 M t n 1 )
M t
n
(ii).
at 2M t M t
(i).

(iii).

2
( M t M t )
n 1
(iv).
bt

Yt p at bt p

for a linear trend

data

MINITAB
implementation

MINITAB implementation
(continued)

Case Study of Video Store: MINITAB

implementation

Moving Averages

Double Moving
Averages

Moving Averages Result

(continued)

Moving Averages VS Double Moving Averages

Results

MA or Moving
Averages

DMA or
Double
Moving
Averages

MSE.MA = 132.67, MSE.DMA = 63.7

Exponential Smoothing
Methods
Single Exponential Smoothing
data

for stationary

Yt 1 Yt (1 )Yt

Exponential Smoothing Adjusted for Trend : Holts

Method
1. The exponentially smoothed series :
At = Yt + (1) (At-1+ Tt-1)
2. The trend estimate :
Tt = (At At-1) + (1 ) Tt-1
Yt p At pTt
3. Forecast p periods into the future :

Exponential Smoothing Adjusted for Trend and

Seasonal Variation : Winters Method

1. The exponentially smoothed series :

Y
At t (1 ) ( At 1 Tt 1)
St L
2. The trend estimate :
Tt ( At At 1) (1 )Tt 1

3. The seasonality estimate :

Y
St t (1 ) St 1
At
4. Forecast p periods into the future :
Yt p ( At pTt ) St L p

Three
parameters
models

SES: MINITAB
implementation

SES dengan
alpha 0,1

SES dengan
alpha 0,6

SES: MINITAB implementation

(continued)

SES: MINITAB implementation

(continued)

DES (Holts Methods): MINITAB implementation

(continued)

DES dengan alpha 0,3 dan beta

0,1

DES: MINITAB implementation

(continued)

Winters Methods: MINITAB

implementation

Winters Methods dengan alpha 0,4; beta 0,1 dan

gamma 0,3

Winters Methods: MINITAB implementation

(continued)