Seleksi Model Neural Network Menggunakan Inferensi Statistik dari R^2 Increment dan Uji Wald untuk Peramalan Time Series Multivariat

Dhoriva Urwatul Wustqa

doi:10.21831/pg.v4i2.564

Seleksi Model Neural Network Menggunakan Inferensi Statistik dari R^2 Increment dan Uji Wald untuk Peramalan Time Series Multivariat

Dhoriva Urwatul Wustqa, Jurusan Matematika FMIPA UNY, Indonesia

10.21831/pg.v4i2.564

Abstract

Dalam makalah ini akan dibahas tentang seleksi model neural network untuk peramalan time series multivariat melalui pendekatan statistika inferensial. Pembahasan mencakup dua kajian, yaitu kajian teoritis tentang sifat asimtotis dari penduga parameter model NN dan distribusi dari statistik uji yang digunakan, dan kajian empiris berupa penerapan teori untuk membentuk prosedur pemilihan model NN untuk peramalan time series multivariat. Prosedur yang diusulkan merupakan kombinasi dari metode forward berdasarkan pada inferensia statistik kontribusi penambahan R2 increment dan metode backward dengan uji Wald. Untuk melihat efektivitas dari prosedur digunakan data simulasi. Hasil simulasi menunjukkan bahwa prosedur seleksi model dapat secara efektif diterapkan untuk pemodelan multivariat time series.

Keywords

neural network; seleksi model; time series multivariat; R^2 increment; uji Wald

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DOI: https://doi.org/10.21831/pg.v4i2.564