VECTOR AUTOREGRESSIVE WITH OUTLIER DETECTION ON RAINFALL AND WIND SPEED DATA
Abstract
Vector Autoregressive (VAR) is a multivariate time series model that analyzes more than one variable where each variable in the model is endogenous. VAR is one of the models used in forecasting rainfall and wind speed. In observations of rainfall and wind speed, there are usually a series of events whose values are far from other observations or can be said to be outliers. The purpose of this study is to compare the VAR model on rainfall and wind speed data before and after outlier detection. This study uses secondary data, namely monthly data on rainfall and wind speed from 2019 to 2021. From the analysis results, the smallest AIC value obtained in the VAR model before outlier detection was 4.94, then the smallest AIC value in the VAR model after outlier detection was 0.25. Thus, it can be concluded that the best model is obtained in the VAR model after outlier detection seen from the smallest AIC value of the two VAR models.
Downloads
References
D. A. H. Panggabean, F. M. Sihombing, and N. M. Aruan, “Prediksi Tinggi Curah Hujan Dan Kecepatan Angin Berdasarkan Data Cuaca Dengan Penerapan Algoritma Artificial Neural Network (ANN),” SEMINASTIKA, vol. 3, no. 1, pp. 1–7, Nov. 2021, doi: 10.47002/seminastika.v3i1.237.
M. P. Ayudhiah, S. Bahri, and N. Fitriyani, “Peramalan Indeks Harga Konsumen Kota Mataram Menggunakan Vector Autoregressive Integrated Moving Average,” EIGEN MATHEMATICS JOURNAL, pp. 1–8, Jun. 2020, doi: 10.29303/emj.v3i1.61.
“Saputro dan kutipan trisasongko. - Model Vektor Autoregressive Untuk Peramalan Curah”.
Y. W. A. Nanlohy, Dr. B. S. S. U., M.Si, and S. W. P., M.Si., Ph.D, “Model Fungsi Transfer Multi Input Untuk Peramalan Curah Hujan Di Kota Surabaya,” VARIANCE: Journal of Statistics and Its Applications, vol. 1, no. 2, pp. 82–92, Feb. 2020, doi: 10.30598/variancevol1iss2page82-92.
F. Fariz Ichsandi, R. Rahmawati, and Y. Wilandari, “Peramalan Laju Inflasi dan Nilai Tukar Rupiah Terhadap Dolar Amerika Menggunakan Model Vector Autoregressive (VAR),” vol. 3, no. 4, pp. 673–682, 2014, [Online]. Available: http://ejournal-s1.undip.ac.id/index.php/gaussian
P. Rialita Hardani and A. Hoyyi, “Peramalan Laju Inflasi, Suku Bunga Indonesia Dan Indeks Harga Saham Gabungan Menggunakan Metode Vector Autoregressive (VAR),” JURNAL GAUSSIAN, vol. 6, no. 1, pp. 101–110, 2016, [Online]. Available: http://ejournal-s1.undip.ac.id/index.php/gaussian
U. I. Negeri, A. Makassar, and R. Ibnas, “dalam Meramalkan Jumlah Penduduk (Studi Kasus : Kabupaten Gowa) Nurwahyu Agustin.”
F. D. Islami, A. Hoyyi, and D. Ispriyanti, “Pemodelan Fungsi Transfer Dengan Deteksi Outlier Untuk Memprediksi Nilai Inflasi Berdasarkan Bi Rate (Studi Kasus BI Rate dan Inflasi Periode Januari 2006 sampai Juli 2016),” JURNAL GAUSSIAN, vol. 6, no. 3, pp. 323–332, 2017, [Online]. Available: http://ejournal-s1.undip.ac.id/index.php/gaussian
A. R. Putri, M. Usman, Warsono, Widiarti, and E. Virginia, “Application of Vector Autoregressive with Exogenous Variable: Case Study of Closing Stock Price of PT INDF.Tbk and PT ICBP.Tbk,” in Journal of Physics: Conference Series, IOP Publishing Ltd, Jan. 2021. doi: 10.1088/1742-6596/1751/1/012012.
Juanda B and Junaidi, Ekonometrika Deret Waktu: Teori dan Aplikasi. Bogor: IPB Press Tahun 2012, 2012.
A. Pertiwi, L. F. Dewi, T. Toharudin, and B. N. Ruchjana, “Penerapan Model Vector Autoregressive Integrated Moving Average (Varima) Untuk Prakiraan Indeks Harga Saham Gabungan Dan Kurs Rupiah Terhadap USD,” Pattimura Proceeding: Conference of Science and Technology, pp. 431–442, Apr. 2022, doi: 10.30598/pattimurasci.2021.knmxx.431-442.
W. W. S. Wei, Time Series Analysis Univariate and Multivariate Methods, Second. USA: Greg Tobin, 2006.
A. Hoyyi, Tarno, D. A. I Maruddani, and R. Rahmawati, “Vector autoregressive model approach for forecasting outflow cash in Central Java,” in Journal of Physics: Conference Series, Institute of Physics Publishing, May 2018. doi: 10.1088/1742-6596/1025/1/012105.
Sugito, Mustafid, D. Safitri, D. Ispriyanti, A. R. Hakim, and H. Yasin, “Rainfall and Wave Height Prediction in Semarang City Using Vector Autoregressive Neural Network (VAR-NN) Methods,” in Journal of Physics: Conference Series, Institute of Physics Publishing, Nov. 2019. doi: 10.1088/1742-6596/1320/1/012017.
Henze N and Zirkler B, A Class of Invariant Consistent Tests for Multivariate Normality, vol. 19. Communications in Statistics - Theory and Methods, 1990.
L. Budiarti, B. Warsito, M. Jurusan Statistika FSM UNDIP, and S. Pengajar Jurusan Statistika, “Analisis Intervensi Dan Deteksi Outlier Pada Data Wisatawan Domestik (Studi Kasus di Daerah Istimewa Yogyakarta),” 2013. [Online]. Available: http://ejournal-s1.undip.ac.id/index.php/gaussian
Soemartini, OUTLIER (pencilan). Bandung: UNPAD, 2007.
Copyright (c) 2024 Lisa Lestari, Evy Sulistianingsih, Hendra Perdana
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this Journal agree to the following terms:
- Author retain copyright and grant the journal right of first publication with the work simultaneously licensed under a creative commons attribution license that allow others to share the work within an acknowledgement of the work’s authorship and initial publication of this journal.
- Authors are able to enter into separate, additional contractual arrangement for the non-exclusive distribution of the journal’s published version of the work (e.g. 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 websites) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published works.
