KAJIAN MODEL HIDDEN MARKOV KONTINU DAN APLIKASINYA PADA HARGA BERAS (The Study of Continuous Hidden Markov Model and Its Application to The Price of Rice)
Abstract
Model Hidden Markov Kontinu dengan waktu diskrit (Elliot et al. 1995) merupakan model pasangan penyebab kejadian dan proses observasi. Model ini mengasumsikan penyebab kejadian sebagai rantai Markov waktu diskrit, yang diamati secara tidak langsung. Proses observasi berskala kontinu dan kejadian yang akan datang dipengaruhi oleh penyebab kejadian saat ini. Parameter model ini adalah matriks probabilitas transisi penyebab kejadian, vektor c dan vektor σ dari proses observasi; parameter tersebut diduga dengan menggunakan metode Maximum Llikelihood dan algoritma Expectation Maximization yang melibatkan perubahan ukuran. Besarnya parameter model diduga dengan menggunakan pemrograman fungsional, sistem aljabar komputer Mathematica 7.0. Model ini kemudian disimulasikan pada perubahan harga beras dari Februari 2004 hingga Mei 2009. Estimasi parameter digunakan untuk menghitung nilai harapan harga beras. Hasil penelitian menunjukkan bahwa model Hidden Markov kontinu dapat memodelkan perubahan harga beras.
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DOI: http://dx.doi.org/10.12928/admathedu.v8i2.12267
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