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    Lampiran Syntax R Sarima

    Uploaded by

    Hendy Hario Sasongko
    This document analyzes time series inflation data from West Java Province using ARIMA and SARIMA models. It tests for stationarity, calculates autocorrelation functions, compares various ARIMA models, compares various SARIMA models with different orders and seasonal periods, analyzes residuals of the best fitting model, and forecasts inflation values. The best fitting SARIMA model is identified and its residuals are further analyzed to check that it meets assumptions of white noise.

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    © All Rights Reserved
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    Lampiran Syntax R Sarima

    Uploaded by

    Hendy Hario Sasongko
    335 views4 pages
    This document analyzes time series inflation data from West Java Province using ARIMA and SARIMA models. It tests for stationarity, calculates autocorrelation functions, compares various ARIMA models, compares various SARIMA models with different orders and seasonal periods, analyzes residuals of the best fitting model, and forecasts inflation values. The best fitting SARIMA model is identified and its residuals are further analyzed to check that it meets assumptions of white noise.

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    This document analyzes time series inflation data from West Java Province using ARIMA and SARIMA models. It tests for stationarity, calculates autocorrelation functions, compares various ARIMA models, compares various SARIMA models with different orders and seasonal periods, analyzes residuals of the best fitting model, and forecasts inflation values. The best fitting SARIMA model is identified and its residuals are further analyzed to check that it meets assumptions of white noise.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    335 views4 pages

    Lampiran Syntax R Sarima

    Uploaded by

    Hendy Hario Sasongko
    This document analyzes time series inflation data from West Java Province using ARIMA and SARIMA models. It tests for stationarity, calculates autocorrelation functions, compares various ARIMA models, compares various SARIMA models with different orders and seasonal periods, analyzes residuals of the best fitting model, and forecasts inflation values. The best fitting SARIMA model is identified and its residuals are further analyzed to check that it meets assumptions of white noise.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 4

    #PLOT DATA INFLASI PROVINSI JAWA BARAT

    #=====================================
    mydata<- read.csv("data inflasi2.csv")
    myts<- ts(mydata, start=c(2008, 1), end=c(2014, 12), frequency=12)
    myts
    plot.ts(myts)
    myts2<- ts(mydata, start=c(2008, 1), end=c(2013, 12), frequency=12)
    myts2

    #UJI STASIONER DENGAN ADF


    #========================
    library(tseries)
    adf.test(myts2,k=0)
    pp.test(myts2)
    #TEST ARFIMA
    #============
    library(fracdiff)
    fdGPH(myts, bandw.exp = 0.5)$d
    fdSperio(myts, bandw.exp = 0.5, beta = 0.9)$d

    #HITUNG ACF DAN PACF


    #===================
    library(astsa)
    tsdisplay(myts2,main="")
    acf2(myts)
    acf(myts)
    Pacf(myts)
    #PERBANDINGAN MODEL ARIMA
    #========================
    arima(myts2, order = c(1,0,1))
    arima(myts2, order = c(2,0,1))
    arima(myts2, order = c(1,0,0))
    arima(myts2, order = c(0,0,1))
    arima(myts2, order = c(2,0,0))
    #PERBANDINGAN MODEL SARIMA
    #=========================
    #SARIMA (1,0,1)(0,0,1)6
    #-----------------------#
    dog <- sarima(myts2,1,0,1,0,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)

    #SARIMA (1,0,1)(1,0,1)6
    #-----------------------#
    dog <- sarima(myts2,1,0,1,1,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (1,0,1)(0,1,1)6
    #-----------------------#
    dog <- sarima(myts2,1,0,1,0,1,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (2,0,1)(0,0,1)6
    #-----------------------#
    dog <- sarima(myts2,2,0,1,0,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (2,0,1)(1,0,1)6
    #-----------------------#
    dog <- sarima(myts2,2,0,1,1,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (2,0,1)(0,1,1)6
    #-----------------------#
    dog <- sarima(myts2,2,0,1,0,1,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (1,0,0)(0,0,1)6
    #-----------------------#
    dog <- sarima(myts2,1,0,0,0,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (1,0,0)(1,0,1)6
    #-----------------------#
    dog <- sarima(myts2,1,0,0,1,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (1,0,0)(0,1,1)6
    #-----------------------#
    dog <- sarima(myts2,1,0,0,0,1,1,6)
    summary(dog$fit) # fit has all the returned arima() values

    plot(resid(dog$fit)) # plot the innovations (residuals)


    #SARIMA (0,0,1)(0,0,1)6
    #-----------------------#
    dog <- sarima(myts2,0,0,1,0,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (0,0,1)(1,0,1)6
    #-----------------------#
    dog <- sarima(myts2,0,0,1,1,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (0,0,1)(0,1,1)6
    #-----------------------#
    dog <- sarima(myts2,0,0,1,0,1,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (2,0,0)(0,0,1)6
    #-----------------------#
    dog <- sarima(myts2,2,0,0,0,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (2,0,0)(1,0,1)6
    #-----------------------#
    dog <- sarima(myts2,2,0,0,1,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (2,0,0)(1,0,0)6
    #-----------------------#
    dog <- sarima(myts2,2,0,0,1,0,0,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #SARIMA (2,0,0)(0,1,1)6
    #-----------------------#
    dog <- sarima(myts2,2,0,0,0,1,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    plot(resid(dog$fit)) # plot the innovations (residuals)
    #FORECASTING ARIMA
    #=================

    dog <- sarima(myts2,0,0,1,0,1,1,6)


    summary(dog$fit) # fit has all the returned arima() values
    f<-sarima.for(myts2, 12, 0, 0, 1, P = 0, D = 1, Q = 1, S = 6)
    f$pred[1:12]
    myts[73:84]
    ##########################
    errorC4<-myts[73:84]-f$pred[1:12] ##################
    MSE=(sum(errorC4^2))/12
    ################## 25%
    MAPE =((sum(abs(errorC4)/myts[73:84]))/12)*100#########
    MSE
    MAPE
    dog <- sarima(myts2,0,0,1,1,0,1,6)
    summary(dog$fit) # fit has all the returned arima() values
    f<-sarima.for(myts2, 12, 0, 0, 1, P = 1, D = 0, Q = 1, S = 6)
    f$pred[1:12]
    myts[73:84]
    ##########################
    errorC4<-myts[73:84]-f$pred[1:12] ##################
    MSE=(sum(errorC4^2))/12
    ################## 25%
    MAPE =((sum(abs(errorC4)/myts[73:84]))/12)*100#########
    MSE
    MAPE
    modelfit<-dog$fit
    res <- residuals(modelfit)
    res
    win.graph(width=3,height=3,pointsize=8)
    qqnorm(res)
    qqline(res)
    #QQ Plot
    shapiro.test(res) #Shapiro_Wilk
    #Uji Serial Korelasi untuk white noise residual (Box pierce)
    Box.test(res,6,"Ljung-Box")
    Box.test(res,12,"Ljung-Box")
    Box.test(res,18,"Ljung-Box")
    Box.test(res,24,"Ljung-Box")
    Box.test(res,30,"Ljung-Box")
    Box.test(res,36,"Ljung-Box")
    #Efek heteroskedastisitas Lagrange Multiplier
    plot(res,main="residual")
    ArchTest (res, lags=12, demean = FALSE)

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