Hierarchical Bayesian of ARMA Models Using Simulated Annealing Algorithm - Repository Universitas Ahmad Dahlan

.-..

F* * * *c'vt trBT ffi s=
F

E

*: *€$ qs* u

#*re

**

*€$

m

g

=


ffi

$

***n* * * s m * # ** * *r*
*

#
-&-

. :: ::.-;::::!,,..::€

:r,':.:i:rl'.i1-+.+i$

ffiw

w

$


Accredited,,A,,byDGHE(DtKl),r"", j"""*.1#?^?rt;Ur7,?r?

TELKOMNIKA

TELKoMNTKA (Telecommunication,,computing,
Erectronics and controt)
lhe journal is first published
peer reviewed internationar journar.
on..December zoog. i-n'"1,r
ot the journar i, to orr,,l 3
aspects of the latest outst6ntins--jg;"r;;;";.r'li
.

,nu ,,",0 of erecrricar unl',t-l1'in-oi;td;i;;l#;:dicat;d to;ii
:,'J.iff[i'JJ,Jlffi',"';;;;"", ;;;;i?['J::', [,':;,1[f .*;;TT;'1J.,?[?J:l'":jt;,.,"Jf
;:."#H;:ff j,l;
Editor-in_Chief
Tole Sutikno
Universitas Ahmad Dahlan
yogyakarta,

lndonesia
email: thsutikno@ieee.org

Co-Editor_in-Chief

E I e ctr-on ic

s E n g i neering
Mark S. Hooper

.

Signal processin(]
Arianna Mencattirii

signal/RFIC Desjgn
,__Analog/mixed
rEEE
Consultants Network of Silico;
Viley

California, USA
m. hooper@ieee.org

of Etectronic Engineering
untversity of Rome .Tor V6rgata,.
Roma, ltajV
email; mencattini@ing.uniroma2.it

power Engineerino
Auzani Jidin

Ahmet Teke

Universjtas Lampung
Lampunq, Indonesja
saudi@ieee.org

Deris Stiawan

Jyoteesh Malhotra


Jumril yunas
Universiti Kebangsaan Malavsia
Kuala Lumpur, Malaysia
iumrilyunas@ukm. my

Chulalongkorn Universitv
Banqkok, Thailancj '
Luncha korn. W@chu la. ac. th

Nik Rumzi Nik ldris

u n

iuu,iitl i"r,ioj",'ni",""^
Johor..Malaysia

Mochammad Facta

Ur ivers jtas


n,

D

iponegoro

semarang, Indonesia
facta@ieee.org

I'jl#,:${rT" u.,"
Maiavsia
nikrumzi@ieee.ors .#;;;6ffi.:i;1_y
singh
Tarek Bouktir
- , .surinder
sant
Longowal,lnsr of Eng &
L_arbi e"n Vntiitjniu"r.ttv
Tech

oum El-Bouaqhi Alqeria
Puniab, lndia
tarek bouktir@estg'ouf,s org
surinoer-soJ'ni@i"iiiruir
"o.
Youssef Said

Karunya university
Tamil Nadu lndia

Symantec Research Labs, Core
Ecole Nationale d,lngenieurs
de
Symantec Corporation
Tunis
Mountain View, CA. USA
Tunis, Tunisia
liuy@cs.rpi.edu
y.said@ttnet.tn


jude-hemanth@rediffmail.com

lrwan Prasetya Gunawan

Jacek stando
,"chnicat University of Lodz

Brk,j" Lj;;;;it;"'"
.r"ourtu,lnOl,nJsL

Lodz, Porand
r*"n.s;;u;;;6lriii5."".,o
Jacek.stando@p.

lodz. pl

Leo p. Ligthart

l_inawati


Delft U_niversity of Technology
Delft, Netherlands
L. P.Ligthart@tudetft
. nl

Universitas Udavana
Bali, lndonesia
linawati@u n ud. ac. id

..MunawarARiyadi

Nidhal Bouaynaya

Ultversitas Diponegoro
Jemarang, lndonesia

unrv. of Arkansas at Litfle Rock
Little Rock, Arkansas, USA
nxbouaynaya@ualr.edu


munawar.riyadi@ieee.org

",""t#
Johor,

Yin Liu

D' Jude Hemanth

lndonesia
uur."i'nog"dju;;r"o"iJo,
Yogyakarta.

_

Lunchakorn Wuttisittikulkii

Wanquan Liu

Dept of of Comoutino

Curtin University ot iecnriotogy
perth WA, Australia
w.liu@curtin.edu.au

u"i"*"it"" C-"lt"i']v"0"

Faygat Djeffat
Unrversity of Batna
Batna, Algeria
taycaldzdz@hotmai j. com

Sriwrjaya Universitv
Palembang, lndoneiia
deris@ieee.org

put ng a nd I nformatics

Balza Achmad

Qukurova Universjty
Aoana, I urkev
ahmetteke@cu.edu.tr

Punlab, lndia
jyoteesh@gmail.com

Com

Sunardi

Dept. of Ejectrjcal Engineering
Universitas Ahmad Dahlan
Yogyakarta, Indonesia
email; sunargm@ieee.org

Editors

Ahmad Saudi Samosir

Omar Lengerke

Mechatronics Engineering
Faculty
, ,_
unrversidad
Autonoma de BrJcaramanga
Bucaramanga, Colombia
olengerke@unab.edu.co

Telecommu n ications E ngi
neering

Dept of Power Electronics and
D.ive
Universiti Teknjkal Malaysia lvlelaka
Melaka, Maiaysia
auzani@ utem. edu. my

Guru Nanak Dev Universitv

Control Engineerino

..

O:?-1nl"i,

Srinivasan Alavandar

Supavadee Aramvith
Chulalongkorn Universitv
Bangkok, Thailand
supavadee. a @ch u la. ac. th

Caledonian Univ. ol Engineering
Sib, Oman
seenu. phd@gmail.com

Tutut Herawan

u"i"".J;;;;;;"?un"ns

Universrtyorlils#ls.iun"uuno

t,r,t@;;;ffi;y
pahang, Malavsia

Jf""lJ."j:rJH"Jili

hanyang_facts@hotmail.com

Yutthapong Tuppaduno

Provincial Electriciti Autho;itv
Bangkok, Thajland
ytuppadung@gmail. com

Advisory Editors

Bimat K. Bose (USA)
Hamid A. Totiyar (USA1

Jazi Eko lstiyanto (lndonesia)
Muhammad H. Rashid (USAj

Neil.Bergmann (Australia)
patricia Melin (Mexico) .

Publishing Committee
Advisory Boards

Abdut Fadtil

Adi Soeprijanto
Kais lsmail lbraheem

Adhi Susanto

Hermawan
Muchlas

Journal Manager

Subscription Manager

Kartika Firdausy

Anton yudhana
eyudhana@yahoo. com

kartrka@ee. uad.ac. id

li:,H',|:T'.il,riJ,T ;i"i"rJ.:r;ffry:l,i;xx.ii5:ii:xji::H,:.ri$f:_ced
The decree

ii

uutio ,ntir August

ecree

2018.

Ensineering and science

No 58/DrKTr/Kep/2or3.

Responsibility of the contents rests
upon the authors and not upon
the pubrisher or editor.
Depa

rt m

ent o
. Jg''i :
j^,."
1" ",
latan Iprof. "_.I
Soepomo

::?il{iiiiii= *,

Ahma

d

D a h ra

_oz zr+ 37e4tB, s63sls,ianturan-, yogyakafta, Indonesia 55164
TelD.
c p +62
s11B2e, s1-i'3o, 3;ii;;;;i
e

_nra

j,: te,kom",o.#J":;5:

n

(uAD

)

nur rro s64604

.::H,'1"1_:H:il:uk:ii::.,#,n,,,,n""@ieee

ors

TELKOMNIKA
Vof, 12, No. 1, March

2Al4

ISSN ,1693-6930

Accredited "A" by DGHE (DlKTl), Decree No.58/DlKTl/Kep/2013

Table of Contents
Regular Papers
The Architecture of lndonesian Publication lndex: A Major lndonesian
Database
lmam Much lbnu Subroto, Tole Sutikno, Deris Stiawan

Academic

A Review on Favourable Maximum Power Point Tracking Systems in Solar
Application
Awang Jusoh, Tole Sutikno, Tan Kar Guan, Saad Mekhilef
The Analysis and Application on a Fraetional-Order Chaotic
Ye Qian, liang Ling Liu

Energy

1

6

System

23

Plant

33

Cost and Benefit Analysis of Desulfurization System in Power
Zhang Caiqing, Liu Meilong

lnduced

47

Signal

53

lnvestigation of Wave Propagation to PV-Solar Panel Due to Lightning
Overvoltage
Nur Hidayu Abdul Rahim, ZikriAbadi Baharudin, Md Nazri Othman, Zahriladha
Takaria, Mohd Shahril Ahmad Khiar, Nur Zawani Safiaruddin, Azlinda Ahmad
Line Differential Protection Modeling with Composite Current and Voltage
Comparison Method
Hamzah Eteruddin, Abdullah Asuhaimi Mohd Zin, Belyamin Belyamin

Baseline

lmproved Ambiguity-Resolving for Virtual
Hailiang Song, Yongqing Fu, Xue Liu

63

System

lntegrated Vehicle Accident Detection and Location
Md. SyedulAmin, Mamun Bin lbne Reaz, Salwa Sheikh Nasir
Neural Network Adaptive Control for X-Y Position Platform with
Ye Xiaoping, Zhang Wenhui, Fang Yamin

73

Uncertainty

Hierarchical Bayesian of ARMA Models Using Simulated Annealing
Suparman, Michel Doisy

Algorithm

Resolutions

Water Pump Mechanical Faults Display at Various Frequency
Linggo Sumarno, Tjendro, Wwien Widyastuti, R.B. Dwiseno \Mhadi
Endocardial Border Detection Using Radial Search and Domain

Knowledge

79

87

97

107

Yong Chen, DongC Liu
New Modelling of Modified Two Dimensional Fisherface Based Feature
Arif Muntasa

Extraction

Network

Emergency PrenatalTelemonitoring System in Wireless Mesh
Muhammad HaikalSatria, Jasmy bin Yunus, Eko Supriyanto

Deformation

A New ControlCurve Method for lmage
Hong-an Li, Jie Zhang, LeiZhang, Baosheng Kang

I

115

123

135

TELKOMNIKA
ISSN

1693.6930

Vol. 12, No. 1, March 2OL4

Accredited 'rA" by DGHE (DlKTl), Decree No.58/DlKTl/Kep/2013
Orthogonal Frequency-Division Multiplexing-Based Cooperative Spectrum Sensing for
Cognitive Radio Networks
Arief Marwanto, Sharifah Kamilah Syed Yusof, M. Haikal Satria

143

LTE Coverage Network Planning and Comparison with Different Propagation Models
RekaM Sabir Hassan, T. A. Rahman, A. Y' Abdulrahman

153

A Threshold Based Triggering Scheme for Cellular-to-WLAN Handovers
Liming Chen, Qing Guo, Zhenyu Na, Kaiyuan Jiang

163

Model and Optimal Solution of Single Link Pricing Scheme Multiservice Network
lrmeilyana, lndrawati, Fitri Maya Puspita, Juniwati

173

An Analytical Expression for k-connectivity of Wireless Ad Hoc Networks
Nagesh kallollu Narayanaswamy, Satyanarcyana D, M'N Giri Prasad

179

Two Text Classifiers in Online Discussion: Support Vector Machine vs Back-Propagation
Neural Network
Erlin, Rahmiati, Unang Rio

189

Research on Traffic ldentification Based on Multi Layer Perceptron
Dingding Zhou, Wei Liu, Wengang Zhou, Shi Dong

201

plagiarism Detection through lnlernet using Hybrid Artificial Neural Network and Support
Vectors Machine
lmam Much lbnu Subroto, AliSelamat

209

Reliability Analysis of Components Life Based on Copula Model
Han Wen Qin, Zhou Jin Yu

219

Cobb-Douglass Utility Function in Optimizing the lnternet Pricing Scheme Model
lndrawati, lrmeilyana, Fitri Maya Puspita, Meiza Putri Lestari

227

CApBLAT: An lnnovative Computer-Assisted Assessment for Problem-Based Learning

241

Approach
Muhammad Qomaruddin, Azizah Abdul Rahman, Noorminshah A. lahad

publications Repository Based on oAl-PMH 2.0 Using Google App Engine

251

Hendra, Jimmy

Android Based Palmprint Recognition System
Gede Ngurah Pasek Pusia Putra, Ketut Gede Darma Putra, Putu \Mra Buana

263

\
,

TELKOMNIKA, Vol.12, No.1, March 2014,pp.87 - 96
ISSN: 1693€930, accredited A by DtKTt, Decree No: 58/DtKit/Kepl2O13
DOl:

1

0.

1

f87

2928ffELK0MNlKA,v 12i1.fl A6

Hierarchical Bayesian of ARMA Models Using
Simulated Annealing Algorithm
1

Deparrment or Marhematicar

_

rclcX?i3l:tXH:',jl$""?flr3:fil:r,rn, Jr pror. Dr

Yogyakarta, lndonesia
'ENSEEIHT/TESA, 2 Rue Camichel, Toulouse, France
"Conesponding author, email: e_mail: suparmancict@yahoo.co.id

soepomo, sH

,

Abstract
When the Autorcgressive Moving Average (ARMA) model is fifted with rcal data, the actual
value
of the model order and the model parameter are often unknown. The goal of this paper is to frnd an
estimator for the model order and the model parameter based on the dati. ln this paper, ihe model
order

identification and model parameter estimation

is given in a hierarchicat Bayeiiai fimiiorx. tn this
framework, the model order and model panmeter are assurned to have pior distibution, which
summarizes all the infomation available about the p/ocess. All the information about the characteristics
of
the model order and the model panmeter are expressed in the posteior distibution. prcbability
determination of the model order and the model panmeter requirei the integration of the posteior
djstnbution resulting. lt is an operation which is very ditricuft to be-solved analytiiatty. 6ere ine Simuated
Annealing Reversible Jump Markov Chain Monte Cailo (MCMC) aQofthm *as aeretopei to iompute
the
required integration over the posterior distibution simulation. Methods developed are evaluated in
simulation sfudies in a number of set of synthetic data and real data.
Keywords: Simulated Annealing, ARMA model, oiler identification, parameter estimation

l.lntroduction

xpx2t" ',xo is a time series data. Time series xpx22...,xn
ARMA(p,q) modet, if x,,X2,...,Xn satisff following stochastic equation [3]
Suppose

is said to be an

:

xt
where

z,

: zt * I;_, 0,2,_i *ff=,0,r,_,,

is the random error at the time t,

coefficient-coefficient. Here
variance

o'

.

ARMA model

z,

t =I,2,...,n

(1)

0t (i = 1,2,..., p) and 0: 0 = 1,2, ..., q) is the

is assumed to have the normal distribution with mean 0 and

(*,I*

is called stationary if and onty if the equality of potynomial

l+I:=,Sf')bi:o
must lie outside the unit circle. NextARMA model
equality of polynomial
t+

Fl

|HJ=L

olq)bj
J

:

(",),."

is called invertibte if and onty if the

o

must lie outside the unit circle [4].

The order (p,q)'" assumed to be known, parameter estimation of the ARMA model
has been examined by several researchers, for example t3l, t4l and [12]. ln practice when we
match the ARMA modelto the data, in generatorOer (p,q) is not known.

Received september 19,2013; Revlsed December 18,2013;Accepted January 12, 2014

BBI

ISSN: 1693-6930

not known, the order identification and the parameters
While for the order (p,q)
'.
estimation are done in two stages. The first stage is to estimate the coefficients and error
variance with the assumption of order (p,q) i. known. Based on the parameter estimation in
the first stage, the second stage is to identify the order (p,q) A criterium used to determine

(p,q) has been

proposed by many researchers, among others are the Akaike lnformation
Criteria Criterion (AlC), Bayesian lnformation Criterion (BlC), and the Final Prediction Error
Criterion (FPE).
Based on the data x, , t =\,2,,.., n , this research proposes a method to estimate the

orOer

value p,q,Q(n),6(o), and o,2 simultaneously. To do that, we will use a hierarchical Bayesian
approach [10], which will be described below.
2. Research Method
2.1 Hierarchical Bayesian

t-\
Let s = (xp*q*r,

)*, ) o" a realization of the ARMA (p, q) model. lf the value
,o =(*,,*r,...,Xp+q) i, knorn, then the likelihood function of s can bewritten approximately

as follows

xp*q +2,. . .

:

(#)7.*o-#I*,.,*,e'(t,p,e,oin),s{o)

z(rln,r,otn',0(n),o')=

where g(t,p,q,0(0r,6{o))= *,

(2)

*fi,0fo'*,-, -I]=,ejttt,-, for t =p+q+1,p+ q+2,"',n

with initial value x, =xz=...=Xo*n =0 [11]. Suppose Snand In are respectively stationary
region and invertible region. By using the transformation

F:otnr = (O{",0y),"',0[n').

Sn

F] ro) =Qr,'r,"

','n)'(-t,t)n)

6.gro) = (efor,e!o),...,efrr)e In F+ p(o) =(p,pr,...,pn).
the ARMA model
ARMA model

(*,)*

(",),.,

stationery if and only

invertible

, o{a) ,

o2

)=

.(n)

if and only if o(t) -

likelihood function can be rewritten as:

/(rlp, e, ,(')

i1

b,pr,"',Po).(-t't)t)

b)

[1]. Then the

n-p

(#)T

"*p-

*I,=n.'.,

a)

[o'-)uu

Ft,t)-)

=(rr,rr," ',.0).(-t,t)n) t2l ano tne

g' (t, p, q, F-l(o(n) ;, 6-r lgta')) tol

The prior distribution determination for parameters are as follows:
Order p have Binomial distribution with parameters l":

,,blr)=

tel

- ]")r*-n

Order q have Binomial distribution with parameters p:'

TELKOMNIKA Vol. 12, No. 1, March 2014:87

-96

TELKOMNIKA

r89

ISSN: 1693-6930

,,(qlr)=

[o;

)u',t

- p)q*-q

Order p is known, the coefficient vectors r(o) have uniform distribution on the interval

(- lr)r
Order q is known, the coefficient vectors p(n) have
(- r,r)n

uniform distribution on the interval

.

e)

Variance

o'

have inverse gamma distribution with parameter

rq');

,,("'F, u):

:*
'lz

{"' I('+) .*p)

Here, the parameters

l" and p

I2

anO

q
2'

#

are assumed to have uniform distribution on the

of cr is 2 and the parameters B is assumed have Jeffrey distribution,
So the prior distribution for the parameters H, =(p,q,r(o),Otc),rz) and H, =(f.,8) can be
interval (0,1), the value

expressed as:

n(H,, u, ) = *(plr)"(.t" lp) n(qlp)n(ot" lo) ,,("'1",p)n(i)"G)

(5)

According to Bayes theorems, then the a posteriori distribution for the parameters
and Hz can be expressed as:

"(u,,

H,lr)* z(';n,11n,,

H, )

H1

(6)

A posteriori distribution is a combination of the likelihood function and prior distribution.
The prior distribution is determined before the data is taken. The likelihood function is objective
while this priordistribution is subjective. ln this case, the a posteriori distribution n(U,,Hrlr)
has the form of a very complex, so it can not be solved analytically. To handle this problem,
reversible jump MCMC method is proposed.

2.2 Revercible Jump MCMC Method
Suppose 111=(Hr,Hr). tn general, the MCMC method is a method of sampting, as
how to create a homogeneous Markov chain that meet aperiodic nature and irreducible (tgl)

M1,M2,"',M. to be eonsidered such as a random variable following the distribution
n(U,,Hrlt). Thus M1,M2,"',M- it can be used to estimate the parameter M. To realize

this, the Gibbs Hybrid algorithm (tgl) is adopted, which consists of two phases:
1. Simulation of the distribution rr(H,lH,, s)
2. Simulation of the distribution

rr(H,lHr,r)

Gibbs algorithm is used to simulate the distri6ution n(UrlH,,s) anO the hybrid
algorithm, which combine the reversible jump MCMC algorithm [5] and the Gibbs atgorithm,
Hierarchical Bayesian of ARMA Models Using Simulated Annealing Algorithm (Suparman)

ISSN: 1693-6930

90 I

generally
. Tn" reversible jump MCMC algorithm is
used to simulate the distribution a(Hr lUr,.)
of the Metropolis-Hastings algorithm [6]' [8]'

2.2.1 Slmulatlon of the

dlstrlbution n(H,lH, ' s)

(Hr,s), writen ,r(HrlH,,
The conditional distribution of Hz given

,,(urlu,,s).. il(1-1;n*-n po(l-p)q@-q

[i)t

r), ..n

be expressed as

**# i

with parameters
This distribution is inversion gamma distribution

A

ana

L'

so the Gibbs

algorithm is used to simulate it'

2.2.2 Simulation of the

distributlon n(HtlH,s)

given (He, s), writen
lf the conditionat distribution of H1

n(H,lUr, r) , i. lnt"gtated with

to 02, then we get

respect

nb,q,rrnr, pto)lHr,r) = L. n(H,lur,t)do'

Let v

-g+-yand

w =9-*|X=n._., g'(t,p,q,F-1(r(p))c-(pt')

and we use

ln.

(o'ft'." *o-#uo'=#

then we get

rq)'
n(p, q, rrnr,

p(a)

lHz, r)

*

[on-)^,

u

- ],)n*-n

[-, ]'

(1

- n)o*-r (;)-'

tr

;P

On the other hand, we have also

n(o'ln,t,rto), p(o),Hr,r)" (o'f('*t)

t*P'

$

a result of multiplication of the
So that we can express the distribution n(H,pfr,t) .as
tne oistrioution, n(ouln,qor(o)op(o)'H"s) '
distribution n(p,q,rtnl,p(u)lH,s) ano

ffiMNtKA

Vol.

D,

No' 1,

March2ol4:87-96

TELKOMNIKA

r91

ISSN: 1693-6930

,r(u,lur, ,) =

n(p, q, r(o), p,n,lHr,

Next to simulate the distribution

phases:

r) r

r(U,lH,s),

"("'ln,

q, r(p), p(n),

Hr, ,)

we use a hybrid algorithm that consists of two

t

. phase 1: Simulate the distribution or n(o'?fp,g,r(o),p(n),Hr,.)

. phase 2: Simulate the distribution n(p, q, r(n), p(o)
lH, s)
The Gibbs algorithm is used to simulate the distribu,'on ,r(o'ln,Q,r(o),p,o,,Hr,r).
conversely, the distribution n(p,q,r(o),p(n)lHr,r)

n"r a complex form. The reversible jump

MCMC is used to simulate it.
\A/hen the order (p,q)'. determined, we can use the Metropolis Hastings atgorithm.

Therefore, in the case that this order is not known, Markov chain must jump from the order

(p,q) with parameters (rrrr,otol) to tn" order (p-,g-) with the parameter (rro'r,0,")). ro
solve this problem, we use the Reversible Jump MCMC algorithm.
2.2.3 Type of jump selection

Suppose

(p,q)

tojumpfromthepto

p+1,6fl

to jump from p to

nf

from the q

p,

nfl

tne probability

p-1, Ei"

theprobabitity

,epresent actual values for the order, we will write:

theprobabilitytojumpfromthepto

the probability to jump from q to q * 1, 6yo the probabitity to jump

to q - 1 and (p tne probability to jump from q to q. For each component, we wiil

choose the uniform distribution on the possible jump. As an example for the AR, this distribution
depends on p and satisfy

ni**51"*(fl=t
We set

6fl

=

(f* = 0 and Sf: = 0

nfl =.*r,'{t,g+}
n(p)

t

)

and

Under this restriction, the probability

will

be

sfl =.rnir,{r,-"(p).-}

'

with constant c, as much as possible so that

['n(p+l)J

nfl * SfR < 0.9 for p = 0,1,...,p-*.

The goal

is to have

nf"n(P)= 6ffin(P+1)
2.2.4Bifth / Death of Order
As for the AR example, suppose that p is the actual value for the order of the ARMA
model, ,trl = (q,rr....,ro) is the coefficient value. Consider that we want to jump from p to
p+

l.

We take the random variable u according to the triangular distribution with mean 0

[u+1"

s(u)=1r_",

-l