ANALISIS TIME SERIES

SM 2234 / 3 SKS
Pengajar : 1. Dr. Suhartono, S.Si., M.Sc.
S1 Statistika, ITS, 1995
S2 Statistika, UMIST, UK, 1998
S3 Statistika, UGM, 2007
email : suhartono@statistika.its.ac.id
phone : 5933867; 0818376367 (HP)

2. R. Mohamad Atok, S.Si., M.Si.

S1 Statistika, ITS, 1995
S2 Statistika, IPB, 2004

MATERI
PERKULIAHAN
1. Pendahuluan
2. Konsep Dasar dalam Analisis Time Series
3. Model untuk Time Series yang Stasioner
4. Model untuk Time Series yang Nonstasioner
5. Identifikasi, estimasi parameter, dan
diagnostic check model ARIMA
6. Peramalan dengan model ARIMA
7. Model untuk Time Series yang Musiman
8. Model ARIMAX : Analisis Intervensi, Model
Variasi Kalender, Fungsi Transfer dan Neural
Networks

BUKU ACUAN /
Referensi

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

Business Forecasting, 5th and 7th edition, Prentice Hall.
2. Bowerman, B.L. and OConnell, R.T. (1993)
Forecasting and Time Series: An Applied Approach ,
3rd edition, Duxbury Press: USA.
3. Makridakis, S., Wheelwright, S. C. and Hyndman, R. J. (1998)
Forecasting: Method and Applications , New York: Wiley & Sons.
4. Cryer, J.D. (1986)
Time Series Analysis, Boston: PWS-KENT Publishing
Company.
5. Wei, W.W.S. (1990)
Time Series Analysis: Univariate and Multivariate
Methods
Addison-Wesley Publishing Co., USA.
6. Brockwell, P.J. and Davis, R.A. (1991)
Time Series: Theory and Methods , 2nd edition, Springer Verlag.

Peramalan &
Perencanaan 1
The Future Can Not Be Predicted

Robert T. Kiyosaki books

The Future Can Not Be

Predicted PRECISELY New
Paradigm

A PERSON WHO DOESNT CARE ABOUT THE PAST

IS A PERSON WHO DOESNT HAVE THE FUTURE

Peramalan &
Perencanaan 2

Ramalan merupakan input bagi proses

perencanaan dan pengambilan keputusan.
Peramalan menunjukkan perkiraan yang akan
terjadi pada suatu keadaan tertentu .
Sebaliknya, perencanaan menggunakan ramalan
tersebut untuk membantu para pengambil
keputusan dalam memilih alternatif terbaik .
Dengan demikian, suatu ramalan mencoba untuk
memper-kirakan apa yang akan terjadi ,
sedangkan perencanaan adalah upaya para
pengambil keputusan untuk dapat mempengaruh
hasil yang akan terjadi melalui berbagai strategis ,
misalnya rencana promosi, distribusi dll.

Apa itu ILMU

(science) ... !!!
... ILMU (science) tidak lagi hanya meneliti :
1. BAGAIMANA dan APA SEBABNYA sesuatu
itu terjadi, (to understand whats going on)
2.
MERAMALKAN apa yang akan terjadi,
(to forecast what will happen)
3.
tetapi juga MEMPENGARUHI atau
MERUBAH apa yang akan terjadi (to
CHANGE what will happen).

KRISIS MONETER
1997 ...
... Yang sangat menakjubkan adalah bahwa krisis luar
biasa ini tidak ada seorangpun yang menduga akan
terjadi termasuk pakar-pakar PERAMAL MASA
DEPAN (futurolog). Para ekonom baik yang
bekerja di pemerintahan maupun di luar
pemerintah termasuk di dunia bisnis, bahkan pakarpakar ekonomi kaliber dunia dari luar negeri tidak
ada satupun yang mengira krisis moneter
(keuangan) ini akan melanda Indonesia. ...
(Mubyarto, Pemberdayaan Ekonomi Rakyat & Peranan Ilmu-Ilmu Sosial ,
Yogyakarta, 2002, hal. 43)

KRISIS MONETER 1997 ...

[continued]

... Ternyata sampai detik-detik terakhir menjelang

krismon, pakar-pakar ekonomi andal sekalipun
yakin tidak akan terjadi krismon di Indonesia.
Sebaliknya, jauh sebelum terjadinya, ada sejumlah
pakar terutama pakar-pakar ilmu politik, sosiologi
dan antropologi, yang telah memperingatkan
kemungkinan meledaknya bom waktu jika
ketimpangan-ketimpangan ekonomi dan sosial yang
muncul tidak memperoleh perhatian sewajarnya . ...
(Mubyarto, Pemberdayaan Ekonomi Rakyat & Peranan Ilmu-Ilmu Sosial ,
Yogyakarta, 2002, hal. 50)

D, I, K, Transition
Add
Value

DATA

by

Transformed

INFORMATION

Analysis
Correlating
Summarizing

by

KNOWLEDGE

Contextualisation
Experience
Interpretation
Discussion

Klasifikasi Metode Peramalan

Forecasting Method
Objective
Forecasting Methods
Time Series
Methods

Subjective (Judgmental)
Forecasting Methods

Causal
Methods

Analogies

Nave Methods

Simple Regression

Moving Averages

Multiple Regression

Exponential Smoothing

Neural Networks

Delphi

PERT

Simple Regression

Survey techniques

ARIMA
Neural Networks
References :

Combination of Time Series Causal

Methods
Intervention Model

Function (ARIMAX)
VARIMA (VARIMAX)
Neural Networks

Transfer

Makridakis et al.

Hanke and
Reitsch

Wei, W.W.S.

Box, Jenkins
and Reinsel

Klasifikasi Metode Peramalan :

Ilustrasi Model
Matematis
Forecasting Method
Objective
Forecasting Methods

Subjective (Judgmental)
Forecasting Methods

Time Series Methods

Causal Methods

Yt= f (Yt-1, Yt-2, , Yt-k)

Yt= f (X1t, X2t, , Xkt)

Examples :
sales(t) = f (sales(t-1), sales(t-2), )

Examples :
sales(t) = f (price(t), advert(t), )

Combination of Time Series Causal

Methods
Yt= f (Yt-j , j>0 ; Xt-i , i0)
Examples :
sales(t) = f (sales(t-1), advert(t), advert(t-1),
)

Klasifikasi Model Time Series :

Berdasarkan Bentuk atau
Fungsi
TIME SERIES MODELS

LINEAR
Time Series Models

NONLINEAR
Time Series Models
ARIMA Box-Jenkins

Models from time series theory

nonlinear autoregressive, etc ...

Intervention Model

Flexible statistical parametric models

neural network model, etc ...

Transfer Function (ARIMAX)

State-dependent, time-varying parameter and long-memory models

VARIMA (VARIMAX)

Nonparametric models
Models from economic theory

References :

Timo Terasvirta, Dag Tjostheim

and Clive W.J. Granger, (1994)
Aspects of Modelling Nonlinear Time Series
Handbook of Econometrics, Volume IV, Chapter 48.
Edited by R.F. Engle and D.I.
McFadden

POLA DATA Time Series

General Time Series PATTERN
Stationer
Trend (linear or nonlinear)
Seasonal (additive or
multiplicative)
Cyclic
Calendar Variation

General of Time Series

Patterns
Time Series Patterns
Stationer

Nonseasonal
Stationary
models

Trend Effect

Nonseasonal
Nonstationary
models

Seasonal Effect

Seasonal and
Multiplicative
models

Cyclic Effect

Intervention
models

POLA DATA Time Series

continued

Examples of Calendar Variation in

Gregorian (Masehi) calendar
measurement:
Eids holiday (one of Islamic Calendar
effects)
It happens on different month
after three years
after at the same

or shift to previous month

month on three years

Hindus holidays in Bali

Imlek holiday

Contoh DATA EKONOMI

1
Time Series Plot of I nflasi

Eids holiday
effects

12

12

12

Inflasi

11
12

11

11

-1
Month
Year

J an
1999

Jan
2000

J an
2001

Jan
2002

Jan
2003

J an
2004

J an
2005

Contoh DATA EKONOMI

2

Krisis di
Indonesia
Pertengahan
1997

Reference : Badan Pusat Statistik (BPS)

Indonesia

Contoh DATA EKONOMI

3
Krisis di Indonesia Terjadi
Mulai Pertengahan 1997

Reference : Dinas Perhubungan Jawa

Timur

Contoh DATA EKONOMI

4
Time Series Plot of Penumpang KA Eksekutif dan Pesawat

200000

Variable
KA Eksekutif
Pesawat

Data

150000

100000

50000
Krisis di Indonesia Terjadi
Mulai Pertengahan 1997

0
Month Jan
Year 1993

J an
1994

Jan
1995

Jan
1996

Jan
1997

Jan
1998

Jan
1999

J an
2000

Reference : Dinas Perhubungan Jawa

Timur

Contoh DATA TOURISM

5

Krisis di Indonesia
Pertengahan
1997

Reference : Badan Pusat Statistik (BPS)

Bali

Contoh DATA TOURISM

6
Time Series Plot of Tingkat Hunian Hotel 4* dan Hotel 5*

100
Variable
Hotel 4*
Hotel 5*

90
80

Data

70
60
50
40
30
Krisis di Indonesia Terjadi
Mulai Pertengahan 1997

20
Month Jan
Year 1994

Jan
1995

Jan
1996

Jan
1997

Jan
1998

Jan
1999

Jan
2000

Jan
2001

Bom
BALI

Jan
2002

Jan
2003

Reference : Badan Pusat Statistik (BPS)

Bali

Contoh DATA HIDROLOGI

7
Time Series Plot of Curah hujan and Debit air in Telaga Ngebel, Madiun
0.30
Variable
Curah hujan
Debit air

0.25

Data

0.20
0.15
0.10
0.05
0.00
1

10

20

30

40

50
Index

60

70

80

90

Contoh Data EKONOMI

8

Keterangan : Data penjualan SARDEN di PT Blambangan Jaya,

Banyuwangi

Model ARIMA
The Box-Jenkins
methodology
1. Tentative IDENTIFICATION

historical data are used to tentatively identify an

appropriate
ARIMA model.

2. ESTIMATION

historical data are used to estimate the parameters

of the tentatively
identified model.

3. DIAGNOSTIC CHECKING

various diagnostics are used to check the adequacy

of the
tentatively identified model,
if need be, to suggest an improved model, which is
then regarded
as a new tentatively identified model.

4. FORECASTING

once a final model is obtained, it is used to forecast

future time
series values.

Flow Diagram of BoxJenkins

N
O

1. Tentative IDENTIFICATION

Stationary and nonstationary time

series ACF dan
PACF
(theoritical)

2. Parameter ESTIMATION

Testing parameters

3. DIAGNOSTIC CHECKING
[ Is the model
adequate?
adequate ]
YES
4. FORECASTING

White noise of
residual
Normal
Distribution
residual

of

Forecast calculation

INFORMASI LEBIH
LANJUT ...

Literature dan websites

Forecasting
website www.forecastingprincipales.com
www.neural -forecasting.com atau
www.bis -lab.com
Journals
Forecasting ... General literature !

Journal of Time Series

Analysis
JBF Journal of Business Forecasting
IJF International Journal of Forecasting

JoF Journal of Forecasting

Softwares
MINITAB
SPSS
SAS