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Diagram Kontrol T2 Hotelling Minimum Volume Ellipsoid (Penerapan pada Pengontrolan Fluktuasi Saham)

Authors

  • Dimas Andhika Nugroho Statistika, Universitas Islam Bandung
  • Suwanda Statistika, Universitas Islam Bandung

DOI:

https://doi.org/10.29313/jrs.vi.718

Keywords:

Fluktuasi, Minimum Volume Ellipsoid, T^2 Hotelling.

Abstract

Abstract. Outliers are datums that are far from other datums. Outliers arise as a result of unusual events that may be very important and need to be investigated further. Outliers are usually found in data that has daily characteristics such as stock data. With this outlier, the T2 Hotelling control chart used to control the average vector shift becomes insensitive to changes in the process. This thesis discusses the T2 Hotelling control chart for the Minimum Volume Ellipssoid (MVE) estimator which is not affected by outliers. This control chart is then applied to the daily stock index control of  PT X and the Joint Stock (JCI) simultaneously. The results of the tests carried out show that the T2 Hotelling control chart for the MVE estimator is more effective in detecting outliers, namely there are 13 data that are out of control with a UCL value of 5.5025.

Abstrak. Pencilan merupakan datum yang letaknya jauh dari datum yang lainnya. Pencilan muncul akibat kejadian yang tidak biasa yang mungkin saja sangat penting dan perlu diselidiki lebih jauh. Pencilan biasanya terdapat pada data yang memiliki karakteristik harian seperti data saham. Dengan adanya pencilan tersebut diagram kontrol T2 Hotelling yang digunakan untuk mengontrol pergeseran vektor rata-rata menjadi tidak peka terhadap adanya perubahan proses. Skripsi ini membahas diagram kontrol T2 Hotelling penduga Minimum Volume Elipssoid (MVE) yang tidak terpengaruh adanya pencilan. Diagran kontrol ini kemudian diaplikasikan pada pengontrolan indeks saham harian PT X dan Saham Gabungan (IHSG) secara simultan. Hasil pengujian yang dilakukan menunjukkan bahwa diagram kontrol T2 Hotelling penduga MVE lebih efektif dalam mendeteksi pencilan yaitu terdapat sebanyak 13 data yang out of control dengan nilai BKA sebesar 5,5025.

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Published

2022-07-07