Course detail

Dynamic and Multivariate Stochastic Models

FSI-9DVMAcad. year: 2020/2021

The course is intended for the students of doctoral degree programme and it is concerned with the modern stochastic methods (stochastic processes and their processing, multidimensional probability distributions, multidimensional linear and nonlinear regression analysis, correlation analysis, principal components method, factor analysis, discrimination analysis, cluster analysis) for modeling of dynamic and multidimensional problems gained at realization and evaluation of experiments in terms of students research work.

Learning outcomes of the course unit

Students acquire higher knowledge concerning modern stochastic methods, which enable them to model dynamic and multidimensional technical phenomena and processes by means calculations on PC.


Rudiments of the theory probability and mathematical statistics.


Not applicable.

Recommended optional programme components

Not applicable.

Recommended or required reading

Montgomery, D. C. - Renger, G.: Probability and Statistics. New York : John Wiley & Sons, Inc., 1996.
Hebák, P. - Hustopecký, J.: Vícerozměrné statistické metody. Praha : SNTL/ALFA, 1987.
Meloun, M. - Militký, J.: Statistické zpracování experimentálních dat. Praha : PLUS, 1994.
Ryan, P. R.: Modern Regression Methods. New York : John Wiley & Sons, Inc., 1997.
Cipra, T.: Analýza časových řad s aplikacemi v ekonomii. Praha : SNTL, 1976.
Anderson, T.W.: Statistical Analysis of Time Series. New York : John Wiley & Sons, Inc., 1994.

Planned learning activities and teaching methods

The course is taught through lectures explaining the basic principles and theory of the discipline.

Assesment methods and criteria linked to learning outcomes

The exam is in form read report from choice area of statistical methods or else elaboration of written work specialized on solving of concrete problems.

Language of instruction

Czech, English

Work placements

Not applicable.


The objective of the course is formalization of stochastic thinking of students and their familiarization with modern methods of mathematical statistics and possibilities usage of professional statistical software in research.

Specification of controlled education, way of implementation and compensation for absences

Attendance at lectures is not compulsory, but is recommended.

Classification of course in study plans

  • Programme D-APM-K Doctoral, 1. year of study, summer semester, 0 credits, recommended

  • Programme D4P-P Doctoral

    branch D-APM , 1. year of study, summer semester, 0 credits, recommended

Type of course unit



20 hours, optionally

Teacher / Lecturer


Stochastic processes, classification, realization.
Moment characteristics, stationarity, ergodicity.
Markov chains and processes.
Time series analysis (trend, periodicity, randomness, prediction).
Multidimensional probability distributions, multidimensional observations.
Sample distributions, estimation and hypotheses testing.
Multidimensional linear regression analysis, model, diagnostic.
Nonlinear regression analysis, correlation analysis.
Principal components analysis, introduction to factor analysis.
Discrimination analysis, cluster analysis.
Statistical software - properties and option use.


eLearning: opened course