Moving Average

Menurut persamaan :
c c
c u c u c u c

= Z
t t t t t
....
2 2 1 1

Misal
MA (1)
1 1
= Z
t t t
c u c
Mean : E(
t
Z ) = E(
1 1

t t
c u c )=0
Variansi: Var (
t
Z ) = Var(
1 1

t t
c u c )=Var(
t
c )+ ) (
1
2
t
Var c u = ) 1 (
2 2 2 2 2
u o o u o + = +
Cov(
2
1 1 2 2 1 1 1 1
) , ( cov ) , ( ) , o u c c u c u c c u c = = = Z Z
t t t t t t t t
Cov
Cov( 0 ) , ( ) ,
3 2 2 1 1 2
= = Z Z
t t t t t t
Cov c u c c u c
Cov( 0 ) , = Z Z
k t t
; k=2,3,4....
0
0
0
) 1 ( ) 1 (
:
) 1 (
3
2
2 2 2
2
1
=
=
=
+

=
+

=
k
MA
ACF

u
u
u o
o u

MA (2)
2 2 1 1
= Z
t t t t
c u c u c
Mean : E(
t
Z ) = 0
0
: Var (
t
Z )
2 2
2
2
1
) 1 ( o u u + + =
) 1 (
) , ( ) , Cov( :
2
2
1
2
2 1
2
1
3 2 2 1 1 2 2 1 1 1 1
u o u o u u o u
c u c u c c u c u c
+ = + =
= Z Z
t t t t t t t t
Cov

2
2
4 2 3 1 2 2 2 1 1 2 2
) , ( ) , Cov( :
o u
c u c u c c u c u c
=
= Z Z
t t t t t t t t
Cov

0
) , ( ) , Cov( :
5 2 4 1 3 2 2 1 1 3 3
=
= Z Z
t t t t t t t t
Cov c u c u c c u c u c

= Z Z

) , Cov( :
k k t t
; k=3,4....
) 1 ( ) 1 (
2 2 2
2
1
u
u
u o
o u

=
+

=
Cov( 0 ) , = Z Z
k t t
; k=2,3,4....

Autoregressive order P
AR(P)
t p t p t t t
c | | | + Z + + Z + Z = Z

...
2 2 1 1

bebas saling dan AR
t t t t t 1 1
; : ) 1 (

Z + Z = Z c c |
Varians :
2
1
2
) ( ) ( o | + Z = Z
t t
Var Var
t t t t
AR c | | + Z + Z = Z
2 2 1 1
: ) 2 (

=
0
2
| +
2
o

= ( )
2 2
1 o o =

=
2
2
1 |
o

Var ( ) ( )
0
1 var = = Zt Zt
( ) ( ) ( ) k Zt E k Zt Zt E k Zt Zt E
k Zt Zt Zt k Zt Zt
Zt Zt
t
t
t
+ =
+ =
+ =
c |
c |
c |
1
2 1
1

.... , 2 , 1 , 1 = = k
k k
|
0
3
2 3
0
2
1 2
0 1
3
2
1
| | o
| |
|
= = =
= = =
= =
k
k
k


k
k
| =
0

0
0
0

|

k
k
k
= =
=
k
|
AR(2)
2
2
2
1
2
0
2
0
2
2
0
2
1 0
2 1
1
2 1
| |
o

o | |
c | |

=
+ + =
+ + =
t
Zt Zt Zt

( ) ( ) ( ) ( ) k Zt E k Zt Zt E k Zt Zt E k Zt Zt E
t
+ + = c | | 2 1
2 1

... , 2 , 1 ,
2 2 1 1
= + =

k
k k k
| |
1 1 1 0 1
1 | | + = =

k
0
2
1 1 2 0 1
1

|
|
| |

= + =
( )
0
2
2 2
2
1
2
0 2 0
2
1
1 0 2 1 1 2
1
1
1
2

|
| | |

|
|
|
| | |
|
|
.
|

\
|

+
=
+

= + = = k

0
2
2
2 2
2
1
1

|
| | |
|
|
.
|

\
|

+
=
0
2
2
0
1
1
0

+ =
t k k

2 2 1
+ =
k k k
| | k=1,2,...
AR(p)
t p
p Zt Zt Zt Zt c | | | + + + + = ... 2 1
2

p k k k k k
+ + + = | | | ...
2 2 1 1

p p
k

+ + + = =
1 2 0 1 1
... 1 1 | | |

1 1 2 1 1
...

+ + + =
p p
| | |
2 1 2 2 1 1 2
.. ... 2

+ + + + + = =
p p
k | | | |
p p p p
p k | | | + + + = =

...
2 2 1 1

|
|
|
|
|
.
|

\
|

2
2
1 1
1
1
... 1
...
1
p
p
p
p

|
|
|
.
|

\
|
p
|
|
|
2
1
=
|
|
|
.
|

\
|
p

2
1

|
|
.
|

\
|
=
|
|
.
|

\
|
|
|
.
|

\
|
=
2
1
2
1 1
1 1
1
2

|
|
p

|
|
.
|

\
|
|
|
.
|

\
|
=
|
|
.
|

\
|
2
1 1
2
1
1 1
1

|
|


|
|
.
|

\
|
|
|
.
|

\
|

=
2
1
1
1
2
1
1
1
1
1

=
|
|
.
|

\
|
+

2
2
1
2 1
2
1
1
1
1

1
2
2
1
2
2
1
2 1 1
1
1
1

+
=

=

ARMA (1,1) ARMA (p,q)
1 1
+ =
t t t
z Zt c | c |
ARMA (2,1)
1 2 2 2 1 1
+ + =
t t t t
Z Z Zt c u c | |
ARMA (1,2)
2 2 1 1 1 1
+ + =
t t t t
Z Zt c u c | c |
AR(p)
( )
( )
( ) ( )
2 2
2 2 1
2
... (
o c c c
c | | | c
o c
= = =
+ + + + =
=

t t t
t p t p t t t
t t
E E
Z Z Z E
Z E

Model Nonstasioner
t t
Z Zt AR c | + =
1
), 1 (
Stasioner jika dan hanya jika 1 ( |

( )
|
|
| |
1
0 1
1
=
=
=
x
x
x x

Stasioner jika dan hanya jika



Tidak stasioner
Bagaimana mentransformasikan Z
t
sehingga diperoleh mosel stasioner
Operator differencing
1
= V
t t t
Z Z Z
contoh = 1
stasioner tidak Z Z
t t t
c + =
1

1 = V =
t t t t
Z Z Z W

t
t t t
z Z
c
c
=
+ =
1 1

stasioner W
t t
c =
Differencing order 2
( )
1
2

V = VV = V
t t t t
Z Z Z Z
t t
Z Zt
x
c | |
|
|
+ = >
(
(
(
1
1
1
1
1
1
( )
2 2
1
2 1 1
1
+ =
=
V V =

t t t
t t t t
t t
Z Z Z
Z Z Z Z
Z Z

( )
2 1
2 3
2 2

+ V = VV = V
t t t t t
Z Z Z Z Z
( )
3 3 3 3
3 2
2 1 1
2 1 1
+ + =
+ =


t t t t t
t t t t t t
Z Z Z Z Z
Z Z Z Z Z Z Z

ARMA (p,q)
ARIMA (P,d,q)
ARI (p,q)
IMA (d,q)
AR(1) ;
t t t
Z Z c | + =
1

ARI (1,1)
( )
( )
t t t t t
t t t t t
t t t
Z Z Z Z
Z Z Z Z
Z Z
c |
c |
c |
+ + =
+ =
+ V = V

2 1 1
2 1 1
1

I = INTEGRATED
ARI (1,2)
t t t
Z Z c | + V = V
1
2 2

IMA (1,1)
MA (1) =
1
=
t t t
Z uc c
IMA (1) =
1 1
1 1
1

+ =
=
= V
t t t t
t t t t
t t t
Z Z
Z Z
Z
uc c
uc c
uc c

IMA (2,2)
MA (2):
2 2 1 1
=
t t t t
Z c u c u c
IMA (2,2)
2 2 1 1
2

= V
t t t t
Z c u c u c
t t t t
Z Z Z c = +
2 1
2
2 2 1 1

t t
c u c u
ARIMA (1,1,1)
ARMA (1,1) :
1 1
+ =
t t t t
Z Z uc c u
ARIMA (1,1,1) :
( )
1 2 1
1 1
1


+ =
+ V = V
t t t t t t
t t t t
Z Z Z Z
Z Z
uc c |
uc c |

Catatan:
MA (1) =
1
=
t t t
Z uc c
MA (2) = =
t
Z
1

t t
uc c
2 2

t
c u
MA (3)
3 3 1 2 1 1
=
t t t t t
Z c u c u c u c
3 3 1 1 2
0

= =
t t t t
Z c u c u c u
2 1 3 2 1 2 1 1
2 1 3 2
1 2 1
5 , 0 25 , 0 5 , 0 25 , 0
5 , 0 25 , 0 1
5 , 0 25 , 0



+ + + =
+ + =
+ + =
t t t t t t t t t t
t t t t t
t t t t t
Z Z Z Z Z Z
Z Z Z
Z Z Z
c c c c
c c
c c


( )
2 1 2 1
2 25 , 0 1 25 , 0 3 2 1
5 , 0 5 , 0 3 2 25 , 0
25 , 0 25 , 1


+ =
+ + =
t t t t t t t
t t t t t t
Z Z Z Z
Z Z Z
c c c
c c c

2 1 2 1
5 , 0 5 , 0 25 , 0

+ V V = V
t t t t t t
Z Z Z c c c
ARIMA (2,1,2)
t t t
t t t t t
t t t t
Z Z
Z Z Z Z
Z Z Z
c
c
c
+ V = V
+ =
+ =

1
2 1 1
2 1
2