Comparative Analysis of Local Polynomial Regression and ARIMA in Predicting Indonesian Benchmark Coal Price

Authors

  • Arinda Mahadesyawardani Department of Mathematics, Universitas Airlangga, Surabaya, Indonesia, Indonesia
  • Utsna Rosalin Maulidya Department of Mathematics, Universitas Airlangga, Surabaya, Indonesia, Indonesia
  • Barnabas Anthony Philbert Marbun Department of Mathematics, Universitas Airlangga, Surabaya, Indonesia, Indonesia
  • Fachriza Yosa Pratama Department of Mathematics, Universitas Airlangga, Surabaya, Indonesia, Indonesia
  • Nur Chamidah Department of Mathematics, Universitas Airlangga, Surabaya, Indonesia, Indonesia

DOI:

https://doi.org/10.21831/pythagoras.v19i1.74889

Keywords:

nonparametric regression, local polynomial, cross validation, ARIMA, benchmark coal price

Abstract

As one of the world's biggest coal producers, it is essential for Indonesia to follow the trend of benchmark coal price fluctuations for any future possibilities. This study compared two methods of forecasting benchmark coal prices to evaluate the accuracy of the predictions used a nonparametric regression based on the local polynomial estimator and a parametric ARIMA method. Local polynomial analysis obtained a MAPE of 2.929278% using a CV method based on optimal bandwidth of 5.06 at order 2 with a cosine kernel, which means highly accurate forecasting accuracy. As for the ARIMA analysis, the data does not meet the assumption of normality, but forecasting is still continued with the best model ARIMA (1,2,1) model so that the MAPE is 12.6327%, which means good forecasting accuracy. Therefore in this study, the use of nonparametric regression methods using local polynomial estimators on data with non-normal distribution are more suitable to obtain accurate prediction results.

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Additional Files

Published

2024-11-18

How to Cite

Mahadesyawardani, A., Maulidya, U. R., Marbun, B. A. P., Pratama, F. Y., & Chamidah, N. (2024). Comparative Analysis of Local Polynomial Regression and ARIMA in Predicting Indonesian Benchmark Coal Price. PYTHAGORAS Jurnal Matematika Dan Pendidikan Matematika, 19(1), 64–76. https://doi.org/10.21831/pythagoras.v19i1.74889

Issue

Vol. 19 No. 1: June 2024

Section

Articles

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