Penerapan Filter Kalman dalam Perbaikan Hasil Prediksi Return Harga Minyak Mentah Dunia dengan Model Arima

Yoga Faisal Aminnudin, Erna Apriliani, Nuri Wahyuningsih
Submission Date: 2018-03-02 16:00:47
Accepted Date: 2018-04-18 18:19:00

Abstract


Peramalan terhadap harga komoditas minyak mentah dunia merupakan salah satu studi yang dilakukan untuk mengantisipasi harga periode mendatang dari komoditas minyak guna menjaga kestabilan ekonomi. Pada penelitian ini digunakan Autoregressive Integrated Moving Average (ARIMA) untuk merumuskan model peramalan return harga komoditas minyak mentah. Pada ARIMA didapatkan model yang sesuai yaitu ARIMA ([14],0,[14]) dengan nilai Mean Absolute Percentage Error (MAPE) yang masih sangat besar yaitu 217,2554%.Setelah didapatkan model yang sesuai dilakukan estimasi terhadap parameter dan perbaikan error pada model tersebut dengan Filter Kalman. Hasil akhir menunjukkan bahwa model peramalan pada return harga minyak terbaik adalah dari hasil perbaikan error menggunakan Filter Kalman yang memiliki nilai MAPE terkecil yaitu 3,6947% sehingga hasil ramalan lebih akurat.

Keywords


ARIMA; Filter Kalman; Estimasi Parameter

Full Text: PDF

CC Licencing


Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).

Refbacks

  • There are currently no refbacks.


Creative Commons License
Jurnal Sains dan Seni ITS by Lembaga Penelitian dan Pengabdian Kepada Masyarakat, LPPM-ITS is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Based on a work at http://ejurnal.its.ac.id/index.php/sains_seni.