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Comparison ARIMA-X and VARMA-X Model to Space Time Data : A Case Study of Rice Price in Six Provinces on Java Island

Nurita Andayani, I Made Sumertajaya, Budi Nurani Ruchjana, Muhammad Nur Aidi

Abstract



Space time data is a data which is containing both information about time and location. The series of time in space time data can be approached by time series analysis. ARIMA-X and VARMA-X are time series modeling that are involving exogenous variables. This research aims to find the best model of rice price to milled dry grain price by using ARIMA-X and VARMA-X model. The result shows that the rice price in one province of Java is influenced by one month earlier of rice price in other provinces of Java location, milled dry grain’s price in the same province, and milled dry grain’s price in other provinces. By comparing the models show that VARMA-X (1,1) without restriction was better model than ARIMA-X with analysis simultaneously to all location.

Keywords


ARIMA, ARIMA-X, VARMA-X

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