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(M0106035)

Abstract. Intervention model is a model in time series which is used to explore the impact on the series from external factors which gives an estimate to the observed variables (Ismail, 2009). In developing intervention models, the accuracy of identifying the order of the interventions is needed. According to Box and Reinsell (2008), the identification may be aided by direct inspection of the data to suggest the form of effect due to the known event, and supplementary evidence may sometimes be available from examination of the reseals from a model fitted before the intervention term is introduced. Ismail et. al (2009) and Nuvitasari et. al (2008) studied more about the determination of the intervention order through the residual model. In this research, it will analyze the data pattern to determine the orders of the intervention. To determine intervention orders through data pattern, it must be known about the characteristics of intervention order. To get the characteristics, some of response pattern with some intervention orders will be simulated. Furthermore, the intervention orders can be determined by adjusting the data pattern with the characteristics pattern obtained. The result of this study is applied to CPI (Consumer Price Index) data of Surakarta in January 2000 November 2009 and the national CPI in January 1995 July 1998. In this application, the intervention orders are identified by two methods, through the residual pattern and data pattern. The results showed that the identification of the order of interventions through data pattern is easier and more efficient.

Keyword: Time series, intervention, multiple intervention inputs model, intervention order, data pattern, residual pattern, response pattern.

1. Introduction

Intervention model is a model in time series which is used to explore the impact on the series from external factors which gives an estimate to the observed variables (Ismail, 2009). Intervention model is divided into two parts, the basic model (ARIMA model without the influence of the first intervention) and the response model. The formation of the response model is affected by the order of intervention. According to Box and Reinsell (2008), the identification may be aided by direct inspection of the data to suggest the form of effect due to known event, and supplementary evidence may sometimes be available from examination of the reseals from a model fitted before the intervention term is introduced. Ismail et. al

(2009) and Nuvitasari et. al (2008) studied more about the determination of the order of interventions through the residual model. In this research, it will analyze the data patterns to determine the intervention orders. This method is expected to easier and more efficient. Each order is limited up to 2 and the time of intervention event is determined from the data patterns. The results obtained in this study will be applied to CPI data Surakarta period January 2000 November 2009 period and the national CPI in January 1995 July 1998.

2. Research Methodology

In this research, the methods used are literature studies, simulations, and applied on a case by referring to time series analysis books and scientific work on intervention analysis that includes the results of research and journals. The research steps are as follows.

1. Review the model of multiple intervention inputs. 2. Analyze the data patterns to determine the order of multiple intervention inputs. a. Make a response plot of each input variable with some combination of the

intervention order and observe the response motion, so the difference can be determined. This step is aided by Minitab 14.

b. Make conclusions about the motion characteristics of the response to some

intervention order value, and then make it as a basis for determining the order of interventions through the data pattern.

c. Apply multiple intervention inputs model of intervention in case of CPI data

of Surakarta in January 2000 November 2009 and the national CPI in January 1995 July 1998. In this case, the identification of intervention orders be done by two method, through residual pattern and use the results obtained in step 2. This step is aided by SAS 9.1.

According to Wei (1994), the general form of multiple intervention inputs model is (2.1) with : response variable at time (output series) : jth intervention variables at time (input series) : ARIMA model without the intervention effect : orders of jth intervention : the number of interventions and is defined as follows,

Identification of intervention orders (b, r, and s) can be done by observe the residual pattern of the forecast data after intervention. The value of b indicates the time delay starting from the intervention effect (residual value out of the 3 limit), the value of indicates when the motion of the response weight began to decline indicates the pattern of the residual. (residual value out of the 2 limits), and (Nuvitasari et. al, 2008).

3.2

Estimation parameters for multiple intervention inputs model use Maximum Likelihood Estimation method (MLE). General model of multiple intervention inputs in equation 2.1 can be defined as

is

3.3

There are three types of intervention variables are used, ie pulse, step and ramp (Mcleod and Vingilis, 2005). The third variables are 1. Pulse Function According to Box and Reinsell (2008), pulse function could represent the effect of an intervention that are temporary or transient and will die out after time of intervention (T). Its defined as (2.2) 2. Step Function According to Box and Reinsell (2008), step function could represent the effect of an intervention that are expected to remain permanently after time of intervention (T) to some extent. Its defined as (2.3) From equation 2.2 and 2.3, it can be conclude that pulse function can be produced by differencing the step function. That is

3. Ramp Function A ramp intervention is a continuing intervention that increases linearly after the intervention time, (SAS Help and Documentation). Ramp function is defined as (2.4) From equation 2.3 and 2.4, it can be conclude that pulse function can be produced by differencing the step function. That is

represents the magnitude of intervention effect at time t. In this study, it will be simulate some intervention order for each intervention variable. The writing of intervention variable is usually followed by the orders (b, r, s).

3.4 Analysis of Data Patterns to Determine The Intervention Orders

From the observation of response patterns simulation, it can be obtained the order characteristics of data pattern. The characteristics in data pattern are written in Table 1. It can be the basis to identify intervention order through data pattern because the response pattern identical to the pattern of data. Table 1. Response characteristics with several intervention orders with time delay of intervention effect is units of time Ramp there is a spike in the data pattern with a height at time followed by the increase in the response weights (the direction can be up or down) linearly there is a spike in the data pattern with a height at time followed by the increase in the response weights exponentially (the direction can be up or down)

Response characteristics of the intervention variable Pulse Step there is a spike in data the pattern with a height at , then the data has a pattern as before (without decrease exponentially process of the response weights) there is a spike in the data pattern at , then the response weights decrease exponentially from time to return the data pattern as before (data without intervention effect) there is a spike in the data pattern with a height at , then the data is stable at specified value, but the data pattern is still like the data pattern without intervention effect there is a spike in the data pattern with a height at time followed by the increase in the response weights exponentially (the direction can be up or down) start at , then the data pattern is stable at the specified value with the pattern as

0,0

1,0

1,1

there are two spikes in the data pattern, the height of each is and , then the response weights decrease exponentially start at till it back to the previous pattern (data pattern without intervention effect)

2,0

there is a spike in the data pattern at , then the response weights increase with sine wave pattern followed by exponential pattern start at till it back to the previous pattern (data pattern without intervention effect)

2,1

there are two spikes in the data pattern, the height of each is and start at , then the response weights increase (direction can be up or down) with sine wave pattern followed by exponential pattern start at till it back to the previous pattern (data pattern without intervention effect)

before (data without intervention effect) there are two spikes in the data pattern, the height of each is and , then the response weights increase exponentially from time , then the data is stable at the specified value with the pattern as before there is a spike in the data pattern with a height at time , then the response weights increase (direction up or down) with sine wave pattern followed by exponential pattern start at , then the data is stable at the specified value with the pattern as before (data pattern without intervention effect) there are two spikes in the data pattern, the height of each is and start at , then the response weights increase (direction can be up or down) with sine wave pattern followed by exponential pattern start at then data is stable at the specified value with the previous pattern (data pattern without intervention effect)

there is a spike in the data pattern with a height , then the response weights increase exponentially (direction can be up or down) start at

there is a spike in the data pattern with a height at time followed by the increase in the response weights exponentially (the direction can be up or down)

there are two spikes in the data pattern, the height of each is and , then the response weights increase exponentially (direction can be up or down) start at

From Table 1, it can be concluded that the existence of the parameter indicates a motion exponential response, either increased or decreased. 6

Table 2. The influence of each parameter in the input variable to the response pattern input variables Input Variables (from order s) (from order ) The magnitude of determine the magnitude and duration of the variable input effects (the greater impact the greater effects and the longer experience of exponential pattern) have the same impact with the step and pulse function, but the data never to be stable (return to data pattern as before) (from order ) were clearly visible (the greater value of make the greater amplitude of wave, so The existence longer disappearance) of less indicates the Look the sine wave obvious, pattern in the value of is not exponential too influential in process, if the the exponential magnitude of process become smaller, so the amplitude of wave is close Almost invisible to zero (almost no effect on the pattern of data)

Pulse

Step

The magnitude of determines the magnitude of height in the early effect, the number of parameters determine the number of jumps

Ramp

has the greatest impact, it indicates the magnitude of the first jump in the response, whether the other almost has no effect on the pattern of response pattern

The first example case is CPI data of Surakarta in January 2000 November 2009 on the base year 2007 = 100. Plot of the data is presented in Figure 1.

CPI

120

110

100

Intervensi 2

90 80

Intervensi 1

Intervensi 6

70

60

Intervensi 3, 4, dan 5

50

time

Figure 1. CPI data plot of Surakarta in January 2000-November 2009 according to the base year 2007 = 100 Results of intervention-order identification using patterns and residual data are presented in Table 3. Table 3. Identification of intervention order through data pattern and residual pattern in multiple intervention inputs model of CPI data in Surakarta Intervention Variable (b, r, s) data Through residual Intervention Through pattern pattern 1 Step (0, 0, 0) Step (0, 0, 0) 2 Step (0, 0, 0) Step (0, 0, 0) 3 Pulse (0, 0, 0) Pulse (0, _, 0) 4 Step (0, 0, 0) Step (0, _, 0) 5 Step (0, 0, 0) Step (0, 0, 0) 6 Step (0, 0, 2) Step (0, 0, 0) Order in 3th and 4th intervention could not be identified through residual pattern. This is because the distances between the interventions 3th, 4th and 5th are very close. Therefore, the value of in 3th, 4th, and 5th intervention can be 8

determined easier through the data pattern. The result of identification between the two methods yields different values of that is used is step (0, 0, 2).

4.2 Intervention model of National CPI Data

results the parameter that is not significant. Therefore, the intervention order

July 1998

with ramp function as an input variable. Plot the data presented in Figure 2.

CPI

F1 320

300

280

Intervensi

260

240

220

200

180

160

time

Figure 2. National CPI data plot of Surakarta in January 1995 July 1998 according to the base year April 1988 March 1989 100 Results of intervention order identification through residual pattern and data pattern are presented in Table 4.

Table 4. Identification of intervention order through data patterns and residual pattern in intervention model of national CPI data Intervention Intervention Variable (b, r, s) Through data Through residual

From Table 4, it can be seen that the identification between the two methods yield different values of intervention orders. The significant test of parameters shows that the model which the orders are identified trough data pattern are significant. Meanwhile, the other intervention model yields not significant parameters. Therefore, the intervention orders that can be used are the intervention orders that are identified through the data pattern.

5. Conclusions

1. The response characteristics with several intervention orders can be the basis of

2. The identification of intervention order through the data pattern is easier and

6. Bibliography

Anonymous. (2005), SAS Help and documentation. Index: Intervention Models and Interrupted Time Series. Box, G. E. P, Gwilym M. J, Gregory C. R. (2008), Time Series Analysis and Control Foecasting, Canada: Wiley and sons. Central Statistic Agency Surakarta. (1995 2009). Indeks Harga Konsumen dan Inflasi kota Surakarta. Surakarta: Central Statistic Agency Surakarta. McLeod, A. I and E. R. Vingilis. (2005), Power Computation for Intervention Analysis. American Statistical Association and the American Society for Quality Technometrics, May 2005, Vol. 47, No. 2 DOI 10.1198/004017005000000094.

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Nuvitasari, E, Suhartono, Sasmito H. W. (2008), Analisis Intervensi Multi Input fungsi step dan pulse untuk Peramalan Kunjungan Wisatawan ke Indonesia, Financial Statistics Directorate, Information Technology, and Tourism, the Central Statistics Agency Jl. dr. Sutomo No. 6-8 Jakarta 10710. Wei, W. W. S. (1994), Time Series Analysis, Canada: Allan M. Wylde. Ismail, Suhartono, Yahaya, Efendi. (2009), Intervention Model for Analyzing the Impact of Terrorism to Tourism Industry. Journal of Mathematics and statistics 5 (4): 322-329. ISSN 1549-3644

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