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 O’Connell, 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 DOESN’T CARE ABOUT “THE PAST“

IS A PERSON WHO DOESN’T 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 what’s 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 pakar-pakar 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 Transformed
Value
DATA INFORMATION KNOWLEDGE
by by

Analysis Contextualisation
Correlating Experience
Summarizing Interpretation
Discussion
Klasifikasi Metode Peramalan …

Forecasting Method

Objective Subjective (Judgmental)

Forecasting Methods Forecasting Methods

Time Series Causal

Analogies
Methods Methods

Naïve Methods Simple Regression

Delphi
Moving Averages Multiple Regression
PERT
Exponential Smoothing Neural Networks

Simple Regression
Survey techniques
ARIMA

Neural Networks

References :
Combination of Time Series – Causal Methods  Makridakis et al.
 Intervention Model  Hanke and
 Transfer Function (ARIMAX) Reitsch 
 VARIMA (VARIMAX) Wei, W.W.S.
 Neural Networks  Box, Jenkins
and Reinsel
 Klasifikasi Metode Peramalan :
Ilustrasi Model Matematis …

Forecasting Method

Objective Subjective (Judgmental)

Forecasting Methods Forecasting Methods

Time Series Methods Causal Methods

Yt= f (Yt-1, Yt-2, … , Yt-k) Yt= f (X1t, X2t, … , Xkt)

Examples : Examples :
 sales(t) = f (sales(t-1), sales(t-2), …)  sales(t) = f (price(t), advert(t), …)

Combination of Time Series – Causal Methods

Yt= f (Yt-j , j>0 ; Xt-i , i0)

Examples :
 sales(t) = f (sales(t-1), advert(t), advert(t-1), …)
Klasifikasi Model Time Series :
Berdasarkan Bentuk atau Fungsi
…
TIME SERIES MODELS
LINEAR NONLINEAR
Time Series Models Time Series Models

Models from time series theory

ARIMA Box-Jenkins
 nonlinear autoregressive, etc ...

Flexible statistical parametric models

Intervention Model
 neural network model, etc ...

State-dependent, time-varying para-

Transfer Function (ARIMAX)
meter 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 Trend Effect Seasonal Effect Cyclic Effect

 Nonseasonal  Nonseasonal  Seasonal and  Intervention

Stationary models Nonstationary models Multiplicative models 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 or shift to previous month after at the same
month on three years
 Hindu’s holidays in Bali
 Imlek holiday
 Contoh DATA EKONOMI … 1
Time Series Plot of Inflasi
3
1
Eids holiday
effects
2 12
12 11
12
1
12 11
Inflasi

1 11

-1

Month Jan Jan Jan Jan Jan Jan Jan

Year 1999 2000 2001 2002 2003 2004 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 Ek sek utif
Pesawat

150000
Data

100000

50000

Krisis di Indonesia Terjadi

Mulai Pertengahan 1997
0
Month Jan Jan Jan Jan Jan Jan Jan Jan
Year 1993 1994 1995 1996 1997 1998 1999 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*
90
Hotel 5*

80

70
Data

60

50

40

30
Krisis di Indonesia Terjadi Bom
20 Mulai Pertengahan 1997 BALI

Month Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan
Year 1994 1995 1996 1997 1998 1999 2000 2001 2002 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
C urah hujan
0.25 Debit air

0.20
Data

0.15

0.10

0.05

0.00

1 10 20 30 40 50 60 70 80 90
Index
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 Box-Jenkins …
 Stationary and non-
stationary time series 
1. Tentative IDENTIFICATION ACF dan PACF
(theoritical)

NO 2. Parameter ESTIMATION  Testing parameters

 White noise of
3. DIAGNOSTIC CHECKING residual
 [ Is the model adequate?
adequate ]  Normal Distribution
of residual
YES

4. FORECASTING  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 …