Penerapan Model Vector Autoregressive Integrated Moving Average with Exogenous Variable (VARIMAX

Anggreani, Riska Mei and Luthfatul Amaliana, S.Si., M.Si (2021) Penerapan Model Vector Autoregressive Integrated Moving Average with Exogenous Variable (VARIMAX. Sarjana thesis, Universitas Brawijaya.

Abstract

Model Vector Autoregressive Integrated Moving Average with Exogenous Variable (VARIMAX) adalah pengembangan dari model Vector Autoregressive Integrated Moving Average (VARMA), dimana merupakan model deret waktu multivariat gabungan antara Vector Autoregressive (VAR) dan Vector Moving Average (VMA) dengan menambahkan variabel eksogen ke dalam sistem persamaan. Penelitian ini dilakukan dengan menggunakan data bulanan nilai ekspor, nilai impor, dan kurs rupiah. Tujuan penelitian ini adalah untuk membuat model deret waktu simultan antara nilai ekspor dan nilai impor menggunakan model VARIMAX

English Abstract

The Vector Autoregressive Integrated Moving Average with Exogenous Variable (VARIMAX) model is a development of the Vector Autoregressive Integrated Moving Average (VARMA) model, which is a combined multivariate time series model between Vector Autoregressive (VAR) and Vector Moving Average (VMA) by adding exogenous variables to within the system of equations. This study uses monthly data of export value, import value, and rupiah exchange rate. The purpose of this study is to create a simultaneous time series model between export and import values using VARIMAX

Item Type: Thesis (Sarjana)
Identification Number: 0521090054
Uncontrolled Keywords: Ekspor, Impor, Kurs Rupiah, VARIMAX,Export, Import, Rupiah Exchange Rate, VARIMAX
Subjects: 500 Natural sciences and mathematics > 519 Probabilities and applied mathematics > 519.5 Statistical mathematics
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam > Statistika
Depositing User: Zainul Mustofa
Date Deposited: 20 May 2022 08:27
Last Modified: 03 Oct 2024 08:08
URI: http://repository.ub.ac.id/id/eprint/190695
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