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DAFTAR ISI

Halaman

HALAMAN JUDUL ................................................................ i

HALAMAN PENGESAHAN ................................................. ii

HALAMAN PERNYATAAN ................................................. iii

ABSTRAK ................................................................................ iv

ABSTRACT ............................................................................. v

KATA PENGANTAR ............................................................. vi

DAFTAR ISI ............................................................................ vii

DAFTAR GAMBAR ............................................................... x

DAFTAR TABEL .................................................................... xii

DAFTAR LAMPIRAN ........................................................... xiv

BAB I PENDAHULUAN

1.1 Latar Belakang .................................................................... 1

1.2 Rumusan Masalah .............................................................. 2

1.3 Batasan Masalah ................................................................. 2

1.4 Tujuan ................................................................................. 2

1.5 Manfaat ............................................................................... 2

BAB II TINJAUAN PUSTAKA

2.1 Deret Waktu ........................................................................ 3

2.1.1 Pengertian Deret Waktu ............................................ 3

2.1.2 Pengujian Stasioneritas Deret Waktu ........................ 3

2.2 Metode Analisis Data Deret Waktu Non Stasioner ............ 6

2.2.1 Metode Box-Jenkins ................................................. 6

2.2.2 Transformasi Wavelet ............................................... 7

2.3 Pemodelan Deret Waktu dengan PendekatanWavelet ............................................................................... 9

2.3.1 Pengertian Wavelet ................................................... 9

2.3.2 Keluarga Wavelet ...................................................... 10

2.3.2.1 Haar Wavelet .................................................. 11

2.3.2.2 Daubechies Wavelet ........................................ 12

2.3.2.3 Coifman Wavelet (Coiflet) .............................. 13

2.3.3 Transformasi Wavelet ................................................ 14

2.3.3.1Discrete Wavelet Transform ...........................

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2.3.3.2 Maximal Overlap Discrete Wavelet Transform

(MODWT) ........................................................ 15

2.4. PemodelanMultiscale Autoregressive(MAR) ................... 18

2.4.1 MODWT pada Pemodelan MAR .............................. 18

2.4.2 Metode Stepwisedalam Penentuan KoefisienModel MAR .............................................................. 20

2.4.3 Pemeriksaan Asumsi Residual Model MAR .............. 20

2.4.3.1 Asumsi Normalitas .......................................... 21

2.4.3.2 Asumsi White-Noise ........................................ 21

2.4.4 Pemilihan Model Peramalan Wavelet ........................ 22

2.4.5 Pengujian Kelayakan Model....................................... 23

BAB III METODE PENELITIAN

3.1 Sumber Data ....................................................................... 25

3.2 Metode Analisis ................................................................... 25

3.3 Software............................................................................... 28

3.4 Diagram Alir ........................................................................ 29

BAB IV HASIL DAN PEMBAHASAN

4.1 Pengujian pada Data Bonds ................................................ 31

4.1.1 Pengujian Stasioneritas .............................................. 31

4.1.2 Pemodelan ARIMA ................................................... 324.1.3 PemodelanMultiscale Autoregressive(MAR) .......... 33

4.1.4 Membandingkan Model Peramalan Wavelet dan

ARIMA ..................................................................... 42

4.2 Pengujian pada Data Simulasi ............................................. 44

4.2.1 Pengujian Stasioneritas .............................................. 44

4.2.2 Pemodelan ARIMA ................................................... 45

4.2.3 PemodelanMultiscale Autoregressive(MAR) .......... 46

4.2.4 Membandingkan Model Peramalan Wavelet dan ARIMA ..................................................................... 51

4.3 Pengujian pada Data Tuban ................................................ 52

4.3.1 Pengujian Stasioneritas .............................................. 52

4.3.2 Pemodelan ARIMA ................................................... 54

4.3.3 PemodelanMultiscale Autoregressive(MAR) .......... 55

4.3.4 Membandingkan Model Peramalan Wavelet dan

ARIMA ..................................................................... 60

4.4 Pembahasan Hasil Pengujian ............................................... 61

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4.5 Peramalan pada Data Real ................................................... 62

BAB V KESIMPULAN DAN SARAN

5.1. Kesimpulan ......................................................................... 67

5.2. Saran ................................................................................... 67

DAFTAR PUSTAKA .............................................................. 69

LAMPIRAN ............................................................................. 71