Teknik Peramalan: Materi minggu kedelapan

 Model ARIMA Box-Jenkins

 Identification of STATIONER TIME SERIES
 Estimation of ARIMA model
 Diagnostic Check of ARIMA model
 Forecasting

 Studi Kasus : Model ARIMAX (Analisis Intervensi,

Fungsi Transfer dan Neural Networks)
General Theoretical ACF and PACF of ARIMA Models

Model ACF PACF

MA(q): moving average of order q Cuts off Dies down
after lag q
AR(p): autoregressive of order p Dies down Cuts off
after lag p
ARMA(p,q): mixed autoregressive- Dies down Dies down
moving average of order (p,q)
AR(p) or MA(q) Cuts off Cuts off
after lag q after lag p
No order AR or MA No spike No spike
(White Noise or Random process)
Theoretically of ACF and PACF of The First-order
Moving Average Model or MA(1)

The model
Zt =  + at – 1 at-1 , where  = 
 Invertibility condition : –1 < 1 < 1

Theoretically of ACF Theoretically of PACF

Theoretically of ACF and PACF of The First-order
Moving Average Model or MA(1) … [Graphics illustration]

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The First-
order Moving Average Model or MA(1) … [Graphics illustration]
Theoretically of ACF and PACF of The Second-order
Moving Average Model or MA(2)

The model
Zt =  + at – 1 at-1 – 2 at-2 , where  = 
 Invertibility condition : 1 + 2 < 1 ; 2  1 < 1 ; |2| < 1

Theoretically of ACF Theoretically of PACF

Dies Down (according to a

mixture of damped exponentials
and/or damped sine waves)
Theoretically of ACF and PACF of The Second-order
Moving Average Model or MA(2) … [Graphics illustration] … (1)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Second-order
Moving Average Model or MA(2) … [Graphics illustration] … (2)

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The Second-order
Moving Average Model or MA(2) … [Graphics illustration]
Theoretically of ACF and PACF of The First-order
Autoregressive Model or AR(1)

The model
Zt =  + 1 Zt-1 + at , where  =  (1-1)
 Stationarity condition : –1 < 1 < 1

Theoretically of ACF Theoretically of PACF

Theoretically of ACF and PACF of The First-order
Autoregressive Model or AR(1) … [Graphics illustration]

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The First-
order Autoregressive Model or AR(1) … [Graphics illustration]
Theoretically of ACF and PACF of The Second-order
Autoregressive Model or AR(2)

The model
Zt =  + 1 Zt-1 + 2 Zt-2 + at, where  = (112)
 Stationarity condition : 1 + 2 < 1 ; 2  1 < 1 ; |2| < 1

Theoretically of ACF Theoretically of PACF

Theoretically of ACF and PACF of The Second-order
Autoregressive Model or AR(2) … [Graphics illustration] … (1)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Second-order
Autoregressive Model or AR(2) … [Graphics illustration] … (2)

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The Second-order
Autoregressive Model or AR(2) … [Graphics illustration]
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1)

The model
Zt =  + 1 Zt-1 + at  1 at-1 , where  =  (11)
 Stationarity and Invertibility condition : |1| < 1 and |1| < 1

Theoretically of ACF Theoretically of PACF

Dies Down (in fashion

dominated by damped
exponentials decay)
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration] … (1)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration] … (2)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration] … (3)

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration]