STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST

STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST

Autoregressive model (AR) is one of the applications from the stochastic process. This model is aimed to predict the future value using the previous observations. Time series stationary can be described from the model that is dened in the dif- ference equation. On the other hand, the time series...

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Main Author: Herlambang, Wahyu
Format: Final Project
Language:Indonesia
Subjects:
Matematika
Online Access:https://digilib.itb.ac.id/gdl/view/34153
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:34153
spelling id-itb.:341532019-02-04T15:58:43ZSTATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST Herlambang, Wahyu Matematika Indonesia Final Project Time series, Stationary, Dierence equation, Characteristic equation, eigenvalues, Maximum likelihood estimation, Bias parameter, Unit root. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/34153 Autoregressive model (AR) is one of the applications from the stochastic process. This model is aimed to predict the future value using the previous observations. Time series stationary can be described from the model that is dened in the dif- ference equation. On the other hand, the time series stationary can be seen from the rst two-moment that is time invariant. The AR model is being used in this nal paper are AR(1) and AR(2). There are some parameters in the models must be estimated to give the representative result between the model and the sample data. The parameter estimation can be achieved through the maximum likelihood estimation. the autoregressive time series stationary is usually tested by unit root test which is aimed to test the eigenvalues of the characteristic equation from the autoregressive model through their parameters. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
topic Matematika
spellingShingle Matematika
Herlambang, Wahyu
STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST
description Autoregressive model (AR) is one of the applications from the stochastic process. This model is aimed to predict the future value using the previous observations. Time series stationary can be described from the model that is dened in the dif- ference equation. On the other hand, the time series stationary can be seen from the rst two-moment that is time invariant. The AR model is being used in this nal paper are AR(1) and AR(2). There are some parameters in the models must be estimated to give the representative result between the model and the sample data. The parameter estimation can be achieved through the maximum likelihood estimation. the autoregressive time series stationary is usually tested by unit root test which is aimed to test the eigenvalues of the characteristic equation from the autoregressive model through their parameters.
format Final Project
author Herlambang, Wahyu
author_facet Herlambang, Wahyu
author_sort Herlambang, Wahyu
title STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST
title_short STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST
title_full STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST
title_fullStr STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST
title_full_unstemmed STATIONARY OF AUTOREGRESSIVE MODEL THROUGH CHARACTERISTIC EQUATION AND UNIT ROOT TEST
title_sort stationary of autoregressive model through characteristic equation and unit root test
url https://digilib.itb.ac.id/gdl/view/34153
_version_ 1822924186912292864

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