TUGAS MATA KULIAH

ANALISIS DATA DERET WAKTU

MOVING AVERAGE (MA) LAG 1, 2, DAN 3

DOSEN PENGAMPU
Achmad Efendi, S.Si., M.Sc., Ph.D.

Oleh :
Ikin Sodikin
Litya Maharsani Oktaviyarti Sabrina

(156090500111001)
(156090500011002)

PROGRAM STUDI STATISTIKA

PROGRAM PASCASARJANA
FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM
UNIVERSITAS BRAWIJAYA
MALANG
2016

1. Uraikan varian, covarian, correlasi dari MA(1), MA(2), MA(3)

MA(1)
Yt et 1et 1

0 var(Yt ) var(et 1et 1 )

var(et ) 12 var(et 1 )
e2 12 e2
e2 (1 12 )
e2 (1 12 )

1 cov(Yt , Yt 1 ) cov(et 1et 1 , et 1 2et 2 )

cov(1et 1 , et 1 )
1 e 2

0 corr (Yt , Yt 1 )

cov(Yt , Yt 1 )
2
1
2 1 e 2
var(Yt )
e (1 1 ) (1 12 )

MA(2)
Yt et 1et 1 2et 2

0 var(Yt ) var(et 1et 1 2et 2 )

var(et ) 12 var(et 1 ) 2 2 var(et 2 )
e2 12 e2 2 2 e2
e2 (1 12 2 2 )

1 cov(Yt , Yt 1 ) cov(e1 1et 1 2et 2 , et 1 1et 2 2et 3 )

cov(1et 1 , et 1 ) cov(1et 2 , 2 et 2 )
1 (1 )( 2 ) e2
(1 1 2 ) e2
2 = cov( , 2 ) = cov( 1 1 2 2 , 2 1 3 2 4 )

cov(2et 2 , et 2 )
2 e2

1 corr (Yt , Yt 1 )

cov(Yt , Yt 1 ) (1 1 2 ) e2
(1 1 2 )
2

2
2
var(Yt )
e (1 1 2 ) (1 12 2 2 )

cov(Yt , Yt 2 )
2 e2
2
2 corr (Yt , Yt 2 )
2

2
2
var(Yt )
e (1 1 2 ) (1 12 2 2 )
MA(3)
Yt et 1et 1 2et 2 3et 3

0 var(Yt ) var(et 1et 1 2et 2 3et 3 )

var(et ) 12 var(et 1 ) 22 var(et 2 ) 32 var(et 3 )
e2 12 e2 22 e2 32 e2
e2 (1 12 22 32 )

1 cov(Yt , Yt 1 ) var(et 1et 1 2et 2 3et 3 , et 1 1et 2 2et 3 3et 4 )

 cov(1et 1 , et 1 ) cov( 2 et 2 , 1et 2 ) cov(3et 3 , 2 et 3 )

1 ( 2 )(1 ) (3 )( 2 ) e2
(1 1 2 23 ) e2

2 cov(Yt , Yt 2 ) var(et 1et 1 2et 2 3et 3 , et 2 1et 3 2et 4 3et 5 )

cov( 2 et 2 , et 2 ) cov(3et 3 , 1et 3 )
2 (3 )(1 ) e2
( 2 13 ) e2

3 cov(Yt , Yt 3 ) var(et 1et 1 2et 2 3et 3 , et 3 1et 4 2et 5 3et 6 )

cov(3et 3 , et 3 )
3 e2

1 corr (Yt , Yt 1 )

cov(Yt , Yt 1 ) (1 1 2 23 ) e2 (1 1 2 2 3 )
2

var(Yt )
e (1 12 22 32 ) (1 12 22 32 )

cov(Yt , Yt 2 )
( 2 13 ) e2
( 2 13 )
2 corr (Yt , Yt 2 )
2

2
2
2
var(Yt )
e (1 1 2 3 ) (1 12 22 32 )

3 corr (Yt , Yt 3 )

cov(Yt , Yt 3 )
3 e2
3
2

2
2
2
2
var(Yt )
e (1 1 2 3 ) (1 1 22 32 )

2. Simulasi dengan 1 = 0.8, 2 = 0.7, 3 = 0.6

MA(1)
= 1 1 = (0.8)1 = 0.81
0 = ( ) = 2 (1 + 12 ) = 2 (1 + (0.8)2 ) = 2 (1 + 0.64) = 1.642
1 = ( , 1 ) = 1 2 = 0.82

0 corr (Yt , Yt 1 )

cov(Yt , Yt 1 )
1
(0.8)
0.8
0.8

0.4878
2
2
var(Yt )
(1 1 ) (1 (0.8) ) 1 0.64 1.64

MA(2)
= 1 1 2 2 = (0.8)1 (0.7)2 = 0.81 + 0.72
0 = ( ) = 2 (1 + 12 + 22 ) = 2 (1 + (0.8)2 + (0.7)2 ) = 2 (1 + 0.64 + 0.42)
= 2.062
1 = ( , 1 ) = (1 + 1 2 )2 = ((0.8) + (0.8)(0.7))2
= (0.8 0.56)2 = 1.362
2 = ( , 2 ) = 2 2 = (0.7)2 = 0.72

1 corr (Yt , Yt 1 )

cov(Yt , Yt 1 ) (1 1 2 ) ((0.8) (0.8)(0.7))

var(Yt )
(1 12 2 2 ) (1 (0.8) 2 (0.7) 2 )
(0.8) (0.56) 1.36

0.6384
1 0.64 0.49
2.13

2 corr (Yt , Yt 2 )

cov(Yt , Yt 2 )
2
(0.7)

2
2
var(Yt )
(1 1 2 ) 1 (0.8) 2 (0.7) 2
0.7
0.7

0.3286
1 0.64 0.49 2.13

MA(3)
= 1 1 2 2 3 3 = (0.8)1 (0.7)2 (0.6)3
= 0.81 + 0.72 0.63
0 = ( ) = 2 (1 + 12 + 22 + 32 ) = 2 (1 + (0.8)2 + (0.7)2 + (0.6)2 )
= 2 (1 + 0.64 + 0.42 + 0.36) = 2.492
1 = ( , 1 ) = (1 + 1 2 + 2 3 )2
= ((0.8) + (0.8)(0.7) + (0.7)(0.6))2
= (0.8 0.56 0.42)2 = 1.782
2 = ( , 2 ) = (2 + 1 3 )2 = ((0.7) + (0.8)(0.6))2
= (0.7 + 0.48)2 = 1.182
3 = ( , 3 ) = 3 2 = (0.6)2 = 0.62

1 corr (Yt , Yt 1 )

cov(Yt , Yt 1 ) (1 1 2 23 ) ((0.8) (0.8)(0.7) (0.7)(0.6))

var(Yt )
(1 12 22 32 )
(1 (0.8) 2 (0.7) 2 (0.6) 2 )

(0.8 0.56 0.42)

1.78

0.7148
(1 0.64 0.49 0.36) 2.49
cov(Yt , Yt 2 )
( 2 13 )
((0.7) (0.8)(0.6))
2 corr (Yt , Yt 2 )

2
2
2
var(Yt )
(1 1 2 3 ) (1 (0.8) 2 (0.7) 2 (0.6) 2 )
0.7 0.48 1.18

0.4738
2.49
2.49
cov(Yt , Yt 3 )
3
(0.6)
3 corr (Yt , Yt 3 )

2
2
2
2
var(Yt )
(1 1 2 3 ) (1 (0.8) (0.7) 2 (0.6))
0.6

0.2409
2.49

3. Plot Autocorrelation Function (ACF)

Plot ACF MA (1)

> ACF=ARMAacf(ma=-.8,lag.max=8)
> plot(y=ACF[-1],x=1:8,xlab="lag",ylab='ACF MA(1)',type='h');abline(h=0)
> ACF
0

1.0000000 -0.4878049 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000

7

0.0000000 0.0000000
Plot ACF MA (2)

> ACF=ARMAacf(ma=list(-.8,.7),lag.max=8)
> plot(y=ACF[-1],x=1:8,xlab="lag",ylab='ACF MA(2)',type='h');abline(h=0)
> ACF
0

1.0000000 -0.6384977 0.3286385 0.0000000 0.0000000 0.0000000 0.0000000

7

0.0000000 0.0000000

Plot ACF MA (3)

> ACF=ARMAacf(ma=list(-.8,.7,-.6),lag.max=8)
> plot(y=ACF[-1],x=1:8,xlab="lag",ylab='ACF MA(3)',type='h');abline(h=0)
> ACF
0

1.0000000 -0.7148594 0.4738956 -0.2409639 0.0000000 0.0000000 0.0000000

7

0.0000000 0.0000000