Dedi Rosadi

Biography

Dedi Rosadi is a full-time professor in the Department of Mathematics, Faculty of Mathematics and Sciences, Universitas Gadjah Mada (UGM).  He graduated from Statistics Study Program in Universitas Gadjah Mada in February 1996 and started to work as the lecturer in UGM after this graduation. In August 1997,  He continue his study to obtain the master of science degree in Stochastic Modelling and Operation Research (Applied Statistics) in the University of Twente, The Netherland, graduated in June 1999. From September 2001- September 2004 He took his doctoral study (in Econometrics) in the Institute of Econometrics and Operation Research (EOS 119), the Vienna University of Technology (TU Wien), Austria. After finished his doctoral study, he come back to Yogyakarta and has been working as the staff member of the Universitas Gadjah Mada until now. In September 2013, He receive the full professor title from Indonesian Government.

 

Research interests

He has interest on Research on the broad range of Statistics & Computational Statistics studies, including on the various topics of Time Series / Econometrics with application on Finance, Data Science & Machine Learning and Biostatistics

 

Students

PhD student

  1. Gumgum Darmawan (Promotor), Graduated 2022, Thesis title : “Autogrouping Alternative Method On Singular Spectrum Analysis”
  2. Evy Sulistianingsih (Promotor), Graduated 2022, Thesis title : “Measuring Risk Of Stocks And European Call Stock Options By Modified Credible Value At Risk Method”
  3. La Gubu (Promotor), Graduated 2022, Thesis title : “Portfolio Selection with Clustering and Robust Method”
  4. Hermansah (Copromotor), Graduated 2022, Thesis title : “Automatic Nonlinear Autoregressive Neural Network With Exogenous Inputs Modeling For Time Series Data Forecasting”
  5. Atina Ahdika (Promotor), Graduated 2021, Thesis title : “Agricultural Insurance Scheme Based On Farmer Exchange Rate Using Static And Time-Varying Copula Model With Extended Dynamic Parameter”
  6. Devni Prima Sari (Promotor), Graduated 2019, Thesis title : “Method For Calculation Of Earthquake Insurance Premium Using K-Means Bayesian Network Approach”
  7. Iqbal Kharisudin (Promotor), Graduated 2018, Thesis title : “The Codifference Function of Moving Average Process with Symmetric alpha-stable Innovation”
  8. Fatia Fatimah (Promotor), Graduated 2018, Thesis title : “Decision Making Approach Using Probabilistic Soft Sets And N-Soft Sets”
  9. Epha Diana Supandhi (Promotor), Graduated 2018, Thesis title : “ Developing Mean Portfolio Modeling using Robust Estimation and Robust Optimization approach”
  10. Walid (Copromotor), Graduated 2017, Thesis title : “ Wavelet Radial Basis Model for Forecasting Time Series Data with Jump ”
  11. Rukun Santoso (Copromotor), Graduated 2017, Thesis title : “ Recurrent Neural Network for forecasting time series data with long memory pattern  ”
  12. DI Asih I Maruddani (Promotor), Graduated 2016, Thesis title : “Coupon Bond Valuation Based On Default Time”
  13. Muslim (Promotor), Graduated 2016, Thesis title : “Yield Curve Modeling using Nelson-Siegel Class models and Their Estimation using Genetic Algorithsms “  
  14. Tarno (Copromotor), Graduated 2015, Thesis title : “Modeling Financial Time series Data with GARCH Volatility model and Adaptive neuro Fuzzy Inference Systems (ANFIS)”
  15. Kartiko (Copromotor), Graduated 2015, Thesis title : “Yield Curve Estimation using Kernel Function with End points Adjustments”  
  16. Agus Sihabudin (Copromotor), Graduated 2014, Thesis title : “Multivariate Forecasting of Major Exchange Rates Using NARX Networks”
  17. Sukono (Copromotor), Graduated 2011, Thesis title : “ VaR measurement with Non Constant Volatility and Long Memory Effects”  

Master student (Partial list only, title given in Bahasa Indonesia)

  1. Devi Nurtiyasari, 2017, Analisis Perbandingan Model Wavelet Recurrent Neural Network dan Wavelet Recurrent Neuro Fuzzy Untuk Klasifikasi Nodul Kanker Paru
  2. Imriani Moroki, 2017, Model Regresi Bridge Aplikasi Untuk Pemodelan Produk Domestik Bruto Di Indonesia
  3. Ariska Kurnia Rachmawati, 2017, Model Regresi Dirichlet Multinomial Untuk Peramalan Respon Kategorik
  4. Ezra Putranda Setiawan, 2018, Penggunaan Penduga Beta Robust dalam pengoptimalan Portofolio Model Indeks Tunggal
  5. Meri Andani Rosmalawati, 2018, Otomatisasi Pemodelan Runtun Waktu dengan Outlier
  6. Agustinus Langowuyo, 2018, Menentukan Premi Asuransi Pertanian Dengan Studi Kasus Gagal Panen Akibat Bencana Banjir
  7. Arif Nurcahyo, 2018, Penerapan Quasi dan Conditional MLE pada Generalized Linear Model (GLM) Untuk Memperediksi Runtun Waktu Cacah
  8. Dina Agustina, 2018, Perbandingan Estimasi Standard Deviation, Value At Risk, dan Expected Loss Deviation dan Aplikaisnya Terhadap Optimisasi Portofolio Pada Pasar Saham Indonesia
  9. Ira Nurmawati, 2018, Model Regresi Panel Poisson Campuran
  10. Wulandari Melina Wola, 2018, Estimasi Credible Value At Risk dan Credible Expected Tail Loss untuk Return Aset Tunggal
  11. Muhamad Wildan Habiby, 2019, Peramalan Data Musiman dengan Multivariat Additive Holt-Winters Exponential Smoothing
  12. Retno Putri Dwi Rahma, 2019, Perbandingan Peramalan Realisasi Volatilitas Dengan Metode Dekomposisi dan Non-Dekomposisi
  13. Syifaul Janan, 2021, Metode Gaussian Process Regression (Gpr) Untuk Meramalkan Curah Hujan
  14. Bintang Fajar, 2021, Model Harga Opsi Call Eropa Dengan Metode Dekomposisi Adomian
  15. Disa Ainun Safitri, 2021, Optimasi Portofolio Dengan Algoritma Tabu Search Pada Saham LQ45
  16. Fajri Farid, 2021, Pengoptimuman Portofolio Berdasarkan Klasterisasi SOM Dan Algortima Genetika

 

Publications:

List of Publication for the last three years are given below. Complete list of publication can be found in the:

  1. scopus  ( https://www.scopus.com/authid/detail.uri?authorId=14010043700 ),
  2. Publons ( https://publons.com/researcher/5329529/dedi-rosadi/ ),
  3. Research gate  (https://www.researchgate.net/profile/Dedi_Rosadi )
  4. or google scholar page (https://scholar.google.com/citations?hl=en&user=kys4nF0AAAAJ)

 

2022 

  • Yuniarti, D. and Rosadi, D. and Abdurakhman, 2022, Application of Groupwise Principal Sensitivity Components on Unbalanced Panel Data Regression Model for Gross Regional Domestic Product in Kalimantan, Pertanika Journal of Science and Technology, University Putra Malaysia.  Sebagai Corresponding author, Scimago 2021 Q3, Terindeks Scopus
  • Zuhairoh, F Rosadi, D, 2022, Real-time Prediction for Multi-wave COVID-19 Outbreaks, Communications for Statistical Applications and Methods, sebagai Corresponding author, Scimago 2021 Q3, Terindeks Scopus
  • Subekti, R., Abdurakhman,  Rosadi, D. dan Hasyim, H., 2022, Integrating Zakat and Purification in A Modified Black-Litterman Model for Shariah-Compliant Stock Portfolios, Asian Economic and Financial Review, Emerald Publishing. Sebagai Penulis anggota, Scimago 2021 Q3, Terindeks Scopus
  • Arisanty, D., Rahmawati, N. and Rosadi, D., 2022, Soil Physical Characteristics and Saturated Hydraulic Conductivity in the Landform of Barito Delta, Kalimantan, Indonesia, Applied and Environmental Soil Science, 1. Sebagai Penulis anggota, Scimago 2021 Q2, Terindeks Scopus
  • Zuhairoh, F., Rosadi, D. and Ronni, A. R., 2022, Multi-state Discrete-time Markov Chain SVIRS Model on the Spread of COVID-19, Engineering Letters, 2022, IAENG, sebagai Corresponding author, Scimago 2021 Q3, Terindeks Scopus
  • Zuhairoh, F. and Rosadi, D., 2022, Data-driven analysis and prediction of COVID-19 infection in Southeast Asia by using a phenomenological model, Pakistan Journal of Statistics and Operation Research, 18 (1), pp 59-69, College of Statistical and Actuarial Sciences, University of the Punjab, sebagai Corresponding author, Scimago 2021 Q2, Terindeks Scopus
  • Sifriyani, Rosadi, D., Rasjid, M. and Anwar, S. and Wahyuni, R.D. and Jalaluddin, S. 2022, Spatial-Temporal analysis of COVID-19 Using Geographically and Temporally Weighted Regression, Symmetry, 2022, MDPI. Sebagai Penulis anggota, Scimago 2021 Q2, Terindeks Scopus
  • Subekti, R. , Abdurakhman and Rosadi, D., 2022, Toward the Black–Litterman with Shariah-compliant asset pricing model: a case study on the Indonesian stock market during the COVID-19 pandemic, International Journal of Islamic and Middle Eastern Finance and Management, 15, Emerald Publishing. Sebagai Corresponding author, Scimago 2021 Q2, Terindeks Scopus
  • Nurtiyasari, D., Rosadi, D. and Abdurakhman, 2022, Lung cancer classification using wavelet recurrent neural network, Boook Chapter. Book title: Detection Systems in Lung Cancer and Imaging, Volume 1, pp 1-31, IOP Publishing Ltd
  • Farid, F. and Rosadi, D., 2022, Portfolio Optimization Based on Self-organizing Maps Clustering and Genetics Algorithm, International Journal of Advances in Intelligent Informatics, 8(1), ASCEE Computer Society. Sebagai Corresponding author, Scimago 2021 Q3, Terindeks Scopus
  • Sulistianingsih, E. and Rosadi, D. and Abdurakhman, 2022, Measuring Risk utilizing Credible Monte Carlo Value at Risk and Credible Monte Carlo Expected Tail Loss, IAENG International Journal of Applied Mathematics, 52 (1), pp 225-237, IAENG. Sebagai Corresponding author, Scimago 2021 Q4, Terindeks Scopus
  • Darmawan, G. and Rosadi, D. and Ruchjana, B.N., 2022, Hybrid Model of Singular Spectrum Analysis and ARIMA for Seasonal Time Series Data, Cauchy, 7 (2), pp 302-315, UIN Maulana Malik Ibrahim. Sebagai Penulis anggota, Sinta 2, Terindeks DOAJ
  • Gubu, La and Rosadi, D. and Abdurakhman, 2022, Robust Portfolio Selection with Clustering Based on Business Sector of Stocks, Media Statistika, 14 (1), pp. 33-43, Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro Sebagai Penulis anggota, Sinta 2, Terindeks DOAJ
  • Rosadi, D Arisanty, D Agustina, D, 2022, Prediction of Forest Fire Using Neural Networks with Backpropagation Learning and Exreme Learning Machine Approach Using Meteorological and Weather Index Variables, Media Statistika 14 (2), 118-124. Sebagai Penulis Pertama dan Corresponding Author, Sinta 2, Terindeks DOAJ
  •  

2021 

  • Darmawan, G. dan  Rosadi, D., Ruchjana, B.N., 2021, Autocorrelation analysis of COVID-19 based on hijri calendar, Journal of Physics Conference Series , 1918 
  • Fang, Z., Dowe, D. L.,  Peiris, S. and Rosadi, D., 2021, Minimum Message Length in Hybrid ARMA and LSTM Model Forecasting, Entropy, 23 (12), pp 1601,  Multidisciplinary Digital Publishing Institute/ MDPI
  • Fang, Z., Dowe, D. L.,  Peiris, S. and Rosadi, D., 2021, Minimum Message Length Autoregressive Moving Average Model Order Selection, arXiv preprint arXiv:2110.03250 
  • Ahdika, A. and Rosadi, D. and Effendie, A.R. and Gunardi, 2021, Measuring dynamic dependency using time-varying copulas with extended parameters: Evidence from exchange rates data, MethodsX, 8, 101322, Elsevier 
  • Ahdika, A., Rosadi, D.,   Effendie, A.R. and Gunardi, 2021, Conditional expectation formula of copulas for higher dimensions and its application, J. Math. Comput. Sci., 11 (4), pp 4877-4904
  • Arisanty, D., Muhaimin, M., Rosadi, D., Saputra, A. N., Hastuti, K. P. and Rajiani, I., 2021, Spatiotemporal Patterns of Burned Areas Based on the Geographic Information System for Fire Risk Monitoring, International Journal of Forestry Research, 2021, Hindawi
  • Arisanty, D., Saputra, A.N., Rahman, A.M., Hastuti, K.P. and Rosadi, D., 2021, The Estimation of Iron Oxide Content in Soil based on Landsat 8 OLI TIRS Imagery in Wetland Areas, Pertanika Journal of Science & Technology, 29 (4)
  • Dianasari, T. and Rosadi, D., 2021, Performance Evaluation of Backpropagation, Extreme Gradient Boosting, Feedforward Network for Cl assification of Customer Deposits Subscription, International Journal of Soft Computing and Its Applications, 13 (1), pp 62-81, Al-Zaytoonah University of Jordan 
  • Gubu, L., Rosadi, D. and Abdurakhman,, 2021, A New Approach for Robust Mean-Variance Portfolio Selection Using Trimmed k-Means Clustering, Industrial Engineering & Management Systems, 20 (4), pp. 782-794
  • Hermansah, Rosadi, D., Abdurakhman, Utami, H., 2021, A comparison of learning algorithms for seasonal time series forecasting using NARX model, J. Math. Comput. Sci.}, 11 (6), 6638–6656
  • Hermansah, Rosadi, D., Abdurakhman, Utami, H., 2021, Automatic time series forecasting using nonlinear autoregressive neural network model with exogenous input, Bulletin of Electrical Engineering and Informatics, 10 (5), pp 2836–2844
  • Hoyyi, A. and Rosadi, D., 2021, Daily stock prices prediction using variance gamma model,  J. Math. Comput. Sci., 11 (2), pp 1888-1903
  • Sari, D.P. , Rosadi, D., Effendie, A.R. and Danardono, 2021, Discretization methods for Bayesian networks in the case of the earthquake, Bulletin of Electrical Engineering and Informatics, 10 (1), pp 299-307,
  • Subekti, R., Abdurakhman and Rosadi, D., 2021, A Short Review over Twenty Years on the Black-Litterman Model in Portfolio Optimization, Industrial Engineering & Management Systems, 20 (4), pp. 769–781
  • Sulistianingsih, E. , Rosadi, D. and Abdurakhman, 2021, Credible Delta-Gamma-Normal Value-at-Risk for European Call Option Risk Valuation, Engineering Letters, 29 (3)
  • Tentua, M.N. and Rosadi, D., 2021, Ensemble Classification Method for Daily Return Stock Market, Songklanakarin Journal of Science and Technology, 43(5), pp 1428-1434, Prince Songkla University
  • Ahdika, A., Rosadi, D.,   Effendie, A.R. and Gunardi, 2021, Determining the optimal window length of the time-varying copula parameter: a simulation study, Journal of Physics: Conference Series, 1821, 1, 012013, IOP Publishing 
  • Darmawan, G., Rosadi, D. and Ruchjana, B.N., 2021, Covid-19 daily forecasting during ramadhan in countries with high muslim population, Journal of Physics: Conference Series, 1722, 1, 012092, IOP Publishing 
  • Darmawan, G., Rosadi, D., Ruchjana, B.N., Hermansah, 2021, Autocorrelation analysis of COVID-19 based on hijri calendar, Journal of Physics Conference Series ICMSE 2020, 1918
  • Gubu, L., Rosadi, D. and Abdurakhman, 2021, Time Series Clustering for Robust Mean-Variance Portfolio Selection: Comparison of Several Dissimilarity Measures, Journal of Physics: Conference Series, 2123,1,012021, IOP Publishing
  • Gubu, L., Rosadi, D.and Abdurakhman, 2021, Robust mean-variance portfolio selection with time series clustering, AIP Conference Proceedings, 2329,1, 060027, AIP Publishing  
  • Hermansah, Rosadi, D., Abdurakhman, Utami, H. and Darmawan, G., 2021, Multivariate Time Series Data Forecasting Using Multi-Output NARNN Model, Proceeding’s 7th International Conference on Research, Implementation, and Education of Mathematics and Sciences (ICRIEMS 2020), pp 288—294, Atlantis Press
  • Kharisudin, I. and Rosadi, D., 2021, Theoretical properties of the sample generalized codifference function of stable moving average process, ICMSE 2020 Journal of Physics Conference Series, 1918
  • Novianti, P. and Kartiko, S.H. and Rosadi, D, 2021, Application of Clayton Copula to identify dependency structure of Covid-19 outbreak and average temperature in Jakarta Indonesia, Journal of Physics: Conference Series, 1943, 1, 012154, IOP Publishing
  • Rosadi, D. and Andriyani, W., 2021, Prediction of forest fire using ensemble method, Journal of Physics: Conference Series ICMSE 2020, 1918
  • Rosadi, D., Andriyani, W. and Arisanty, D. and Agustina, D., 2021, Prediction of Forest Fire Occurrence in Peatlands using Machine Learning Approaches, The 3rd International Seminar on Research of Information Technology and Intelligent Systems 2020  (ISRITI 2020), published by IEEE,pp 48-51
  • Rosadi, D., Andriyani, W., Arisanty, D. and Agustina, D, 2021, Pre.diction of Forest Fire using Hybrid SOM-AdaBoost Method, Journal of Physics: Conference Series, 2123, 1, 012030, IOP Publishing
  • Rosadi, D., Arisanty, D., Andriyani, W. ,Peiris, S., Agustina, D. ,. David, D.L. and Fang, Z., 2021, Improving Machine Learning Prediction of Peatlands Fire Occurrence for Unbalanced Data Using SMOTE Approach, 2021 International Conference on Data Science, Artificial Intelligence, and Business Analytics (DATABIA), pp 160—163, IEEE
  • Subekti, R., Abdurakhman and Rosadi, D., 2021, Reverse optimization and capital asset pricing model in the application of the Black Litterman portfolio, Journal of Physics: Conference Series ICMSE 2020 1918
  • Sulistianingsih, E., Rosadi, D. and Abdurakhman, 2021, Measuring risk based on skewed t distribution approach, Journal of Physics: Conference Series, 1943, 1, 012143, IOP Publishing
  • Sulistianingsih, E., Rosadi, D. and Abdurakhman, 2021, Risk analysis of five stocks indexed by LQ45 using credible value at risk and credible expected tail loss, Journal of Physics Conference Series ICMSE 2020, 1918
  • Viadinugroho, R.A.A. and Rosadi, D., 2021, Long Short-Term Memory Neural Network Model for Time Series Forecasting: Case Study of Forecasting IHSG during Covid-19 Outbreak, Journal of Physics: Conference Series, 1863, 1, 012016, IOP Publishing 
  • Yuniarti, D., Rosadi, D. and Abdurakhman, 2021, Inflation of Indonesia during the COVID-19 pandemic, Journal of Physics: Conference Series},1821, IOP Publishing
  • Zuhairoh, F, Rosadi, D. and Effendie, AR, 2021, Determination of Basic Reproduction Numbers using Transition Intensities Multi-state SIRD Model for COVID-19 in Indonesi, Journal of Physics: Conference Series, 1821, 1, 012050, IOP Publishing 

2020

  • Zuhairoh, F. and Rosadi, D., 2020, Real-time Forecasting of the COVID-19 Epidemic using the Richards Model in South Sulawesi, Indonesia, Indonesian Journal of Science & Technology 5 (3), 456-462
  • Sari, D.P,  Rosadi, D., Effendie, A.R. dan Danardono, 2020,Discretization methods for Bayesian networks in the case of the earthquake, Bulletin of Electrical Engineering and Informatics 10 (1), 299-307
  • Ahdika, A., Rosadi, D. dan Effendie, A.R., 2020, Household margin insurance of agricultural sector in Indonesia using a farmer exchange rate index, Agricultural Finance Review https://doi.org/10.1108/AFR-11-2019-0117
  • La Gubu, Rosadi, D. Abdurakhman, 2020, Robust Mean-Variance Portfolio Selection With Ward And Complete Linkage Clustering Algorithm., Economic Computation & Economic Cybernetics Studies & Research 54 (3)
  • Subekti, R. Abdurakhman and Rosadi, D., 2020, Modified capital asset pricing model (CAPM) into sharia framework, Journal of Physics: Conference Series 1581 (1), 012021
  • La Gubu, Rosadi, D. 2020, Robust Mean-Variance Portfolio Selection Using Cluster Analysis: A Comparison between Kamila and Weighted K-Mean Clustering, Asian Economic and Financial Review 10 (10), 1169-1186
  • Sifriyani, S and Rosadi, D., 2020,, Pemodelan Susceptible Infected Recovered (SIR) Ntuk Estimasi Angka Reproduksi Covid-19 Di Kalimantan Timur Dan Samarinda, Media Statistika Des
  • Rosadi, D., Setiawan, E.P., Templ, M. and Filzmoser, F., 2020, Robust covariance estimators for mean-variance portfolio optimization with transaction lots, Operations Research Perspectives 7, 100154
  • Setiawan, E.P. and Rosadi, D., 2020, Portfolio optimisation with cardinality constraint based on expected shortfall, Int. J. Computing Science and Mathematics, Vol. 12, No. 3, 2020
  •  Darmawan, G., Rosadi, D. and Ruchjana, B.N., 2020, Daily Forecast for COVID-19 During Ramadhan by Singular Spectrum Analysis in Indonesia JARDCS, Volume 12 , Issue 6, Pages: 818-825
  • Diponegoro F,  Rosadi D &  Kristadi J, Membaca Tren Pergerakan Data Pasien Covid-19, Gatra Review, Edisi 09/I/APRIL 2020
  • Rosadi D, Menakar Kualitas Prediksi Data Covid-19, Gatra Review, Edisi 09/I/APRIL 2020
  • Rosadi D, On the Estimation of the Reproductive Number of COVID-19 in Indonesia, Book Chapter Quantitative Method, University Utara Malaysia, 2020