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Prof. M.B.

Priestley

Prof. D.S. Broomhead

TIME SERIES ANALISIS


s1 STATISTIKA

Suhartono
Email: suhartono@statistika.its.ac.id,
gmsuhartono@gmail.com
S.Si. (ITS, 1995), M.Sc. (UMIST-UK, 1998),
Kresnayana Yahya Dr. (UGM, 2007), Post Doctoral (UTM, 2010)
Prof. T. Subba Rao

6th Semester at S1 Program


Department of Statistics, Institut Teknologi Sepuluh Nopember
Surabaya, February 12, 2013
Material
1. Introduction
2. Simple Classical Forecasting Methods: Nave Models,
Moving Average Methods, Exponential Smoothing
Methods, Decomposition Method, Regression and
Trend Analysis, and Time Series Regression.
3. ARIMA models (Box-Jenkins procedure)
4. Double Seasonal ARIMA
5. Intervention Model and Outlier Detection
6. Calendar Variation Model
7. Transfer Function Model
8. VARIMA and GSTAR Model
9. Introduction to Nonlinear Time Series Model and
Modern Methods for Time Series Forecasting

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Material cont

1. Introduction and Overview Simple Classical Forecasting


Methods:
Nave Models, Moving Average Methods,
Exponential Smoothing, Decomposition Method,
Time Series Regression.

Spyros Makridakis is on the right of the photograph,


Robert Fildes on the left

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Material cont

1. Introduction and Overview Simple Classical Forecasting


Methods:
Nave Models, Moving Average Methods,
Exponential Smoothing, Decomposition Method,
Time Series Regression.

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Material cont

1. Introduction and Overview Simple Classical Forecasting


Methods:
Nave Models, Moving Average Methods,
Exponential Smoothing, Decomposition Method,
Time Series Regression.

Website: http://users.ox.ac.uk/~mast0315/

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Material cont

2. ARIMA models (Box-Jenkins procedure):


Unit Root Test: Dickey-Fuller & Phillip-Perron Test
Seasonal models: Multiplicative, Additive, Subset
Multiple Seasonal models

George Box on the left and George Tiao on the right

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www.google.co.id/#hl...=ARIMA...

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Example: Multiple Seasonal

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Example: Multiple Seasonal

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Example: Multiple Seasonal

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Example: Multiple Seasonal

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Material cont

3. Multivariate Time Series Model I:


Intervention Model & Outlier Detection,
Calendar Variation Model, Transfer Function Model

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Example: Calendar Variation
(a). Y1: Men's jeans sales in Boyolali shop
Dec '02 Nov '03 Nov '04 Nov '05 Oct '06 Oct '07 Oct '08 Sep '09
2.0

11
10
1.5 11 10
Unit sales (Thousands)

11
10 9 9
1.0

0.5

0.0
Month Jan Jan Jan Jan Jan Jan Jan Jan
Year 2002 2003 2004 2005 2006 2007 2008 2009

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Example: Calendar Variation
Eid holidays for the period 2002 to 2011

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Example: Intervention Analysis
O k t'05 Mei'06
2400000

2200000 Kondisi normal

2000000

1800000
Yt

1600000
Efek
tarif BBM
1400000

1200000 Volume Kendaraan di Jalan Tol,


Waru-Gempol
1000000
Month Jan Jan Jan Jan Jan Jan Jan Jan
Year 2000 2001 2002 2003 2004 2005 2006 2007

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Example: Intervention Analysis

Krisis di Indonesia
Pertengahan 1997

Reference : Badan Pusat Statistik (BPS) Indonesia

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Example: Intervention Analysis
Krisis di Indonesia Terjadi
Mulai Pertengahan 1997

Reference : Dinas Perhubungan Jawa Timur

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Example: Intervention Analysis
Time Series Plot of Penumpang KA Eksekutif dan Pesawat
200000 Reference : Dinas Perhubungan Jawa Timur
Variable
KA Ek sek utif
Pesawat

150000
Data

100000

50000

Krisis di Indonesia Terjadi


Mulai Pertengahan 1997
0
Month Jan Jan Jan Jan Jan Jan Jan Jan
Year 1993 1994 1995 1996 1997 1998 1999 2000

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Review: Classical Spatio-Temporal Model
3. Spatio-Temporal Models:
VARIMA, STAR, GSTAR model, etc.

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Material cont

4. Nonlinear Time Series Models:


ARCH-GARCH model, Non-linearity test

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Material cont

4. Nonlinear Time Series Models:


Weighted Fuzzy Time Series

Website: http://fuzzylab.et.ntust.edu.tw/

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Material cont

4. Nonlinear Time Series Models:


Hybrid Forecasting Model

Time series forecasting


using a hybrid ARIMA and
neural network model,
Neurocomputing
Volume 50, January 2003,
Pages 159-175

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Reference
1. Hanke, J.E. and Reitsch, A.G. (1995, 2005, 2008)
Business Forecasting, 5th, 7th and 9th edition, Prentice Hall.
2. Bowerman, B.L. and OConnell, R.T. (1993, 2004)
Forecasting and Time Series: An Applied Approach,
3rd and 4th edition, Duxbury Press: USA.
3. Makridakis, S., Wheelwright, S. C. and Hyndman, R. J. (1998)
Forecasting: Method and Applications, New York: Wiley & Sons.
4. Cryer, J.D. (1986, 2008)
Time Series Analysis, Boston: PWS-KENT Publishing Company.
5. Wei, W.W.S. (1990, 2006)
Time Series Analysis: Univariate and Multivariate Methods
Addison-Wesley Publishing Co., USA.
6. Armstrong, J.S. (2002)
Principles of Forecasting: A Handbook for Researchers and Practicioners,
Kluwer Academic Publisher.

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Reference cont

7. Hamilton, J.D. (1994)


Time Series Analysis, Princeton University Press.
8. Brockwell, P.J. and Davis, R.A. (1991)
Time Series:Theory and Methods, 2nd edition, Springer Verlag.
9. Fuller, W.A. (1995)
Introduction to Statistical Time Series, 2nd edition,
New York: Wiley & Sons.
10. Tsay, R.S. (2005)
Analysis of Financial Time Series, 2nd edition,
New York: Wiley & Sons.
11. Brocklebank, J.C. and Dickey, D.A. (2003)
SAS for Forecasting Time Series, 2nd edition, SAS Institute Inc.
12. Etc.: Enders, W. Econometrics Time Series; books of Box et al.,
Priestley,

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Introduction: Forecasting & Planning

The Future Can Not Be Predicted


Robert T. Kiyosaki books

The Future Can Not Be


Predicted PRECISELY
New Paradigm

A PERSON WHO DOESNT CARE ABOUT THE PAST


IS A PERSON WHO DOESNT HAVE THE FUTURE

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Introduction: Forecasting & Planning

Kehlog Albran
The Profit (1973)
I have seen the future
and it is just like the present,
only longer.

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Introduction: Forecasting & Planning
Planning concerns what the world should look like, while
forecasting is about what it will look like.
Planners can use forecasting methods to predict the
outcomes for alternative plans. If the forecasted outcomes
are not satisfactory, they can revise the plans, then obtain
new forecasts, repeating the process until the forecasted
outcomes are satisfactory. They can then implement and
monitor the actual outcomes to use in planning the next
period.
However, in practice, many organizations revise their
forecasts, not their plans.
Source: J.S. Armstrong, Principles of Forecasting

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Introduction: Forecasting & Planning

Source: J.S. Armstrong, Principles of Forecasting

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Stage of Forecasting

Source: J.S. Armstrong, Principles of Forecasting

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Component of the Sales Forecasting

Source: J.S. Armstrong, Principles of Forecasting

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Characteristics of Forecasting Methods
Source: J.S. Armstrong, Principles of Forecasting

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Intro: Forecasting Methods
Forecasting Method

Objective Subjective (Judgmental)


Forecasting Methods Forecasting Methods

Time Series Causal


Analogies
Methods Methods

Nave Methods Simple Regression


Delphi
Moving Averages Multiple Regression
PERT
Exponential Smoothing Neural Networks

Simple Regression
Survey techniques
ARIMA

Neural Networks
References :
Makridakis et al. (1998)
Combination of Time Series Causal Methods
Hanke and Reitsch (2004)
Intervention Model
Wei, W.W.S. (2006)
Transfer Function (ARIMAX)
Box, Jenkins and Reinsel (1994)
VARIMA (VARIMAX)
Neural Networks

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Intro: Forecasting Methods

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Introduction cont

TIME SERIES MODELS

LINEAR NONLINEAR
Time Series Models Time Series Models

Models from time series theory


ARIMA Box-Jenkins
nonlinear autoregressive, etc ...

Flexible statistical parametric models


Intervention Model
neural network model, etc ...

State-dependent, time-varying para-


Transfer Function (ARIMAX)
meter and long-memory models

VARIMA (VARIMAX) Nonparametric models

Models from economic theory


References :
Timo Terasvirta, Dag Tjostheim and Clive W.J. Granger, (1994)
Aspects of Modelling Nonlinear Time Series
Handbook of Econometrics, Volume IV, Chapter 48.
Edited by R.F. Engle and D.I. McFadden

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Time Series PATTERN

General time series PATTERN


Stationer
Trend: linear & nonlinear
Seasonal: additive & multiplicative
Cyclic
Calendar Variation

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General of Time Series PATTERN

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General of Time Series PATTERN
Examples of Calendar Variation in Gregorian (Masehi)
calendar measurement:
Eids holiday (one of Islamic Calendar effects)
It happens on different month after three years
or shift to previous month after at the same
month on three years.
Hindus holidays in Bali
Imlek holiday

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Ex.: Seasonal
Time Series Plot of Curah hujan and Debit air in Telaga Ngebel, Madiun
0.30
Variable
C urah hujan
0.25 Debit air

0.20
Data

0.15

0.10

0.05

0.00

1 10 20 30 40 50 60 70 80 90
Index

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Ex.: Cyclic
Time Series Plot of Tingkat Hunian Hotel 4* dan Hotel 5*
100
Variable
90 Hotel 4*
Hotel 5*

80

70
Data

60

50

40

30
Krisis di Indonesia Terjadi Bom
20 Mulai Pertengahan 1997 BALI

Month Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan
Year 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003

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Additional Reference
Website :
http://robjhyndman.com/
http://forecasters.org/index.html
www.forecastingprinciples.com
www.neural-forecasting.com or
www.bis-lab.com
etc.
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