Course detail
Time series analysis
FAST-DA65Acad. year: 2023/2024
Stochastic processes, mth-order probabilty distributions of stochastic processes, characteristics of stochastic process, point and interval estimate of these characteristics, stationary random processes, ergodic processes.
Decomposition of time series -moving averages, exponential smoothing, Winters seasonal smoothing.
The Box-Jenkins approach (linear process, moving average process, autoregressive process, mixed autoregression-moving average process - identification of a model, estimation of parameters, verification of a model).
Spectral density and periodogram.
The use of statistical system STATISTICA and EXCEL for time analysis.
Language of instruction
Number of ECTS credits
Mode of study
Guarantor
Department
Entry knowledge
Basics of the theory of probability, mathematical statistics and linear algebra - the normal distribution law, numeric characteristics of random variables and vectors and their point and interval estimates, principles of the testing of statistical hypotheses, solving a system of linear equations, inverse to a matrix
Rules for evaluation and completion of the course
Aims
Using statistical programs, they should be able to identify Box-Jenkins models, estimate the parameters of a model, judge the adequacy of a model and construct forecasts.
Study aids
Prerequisites and corequisites
Basic literature
CIPRA, T. Analýza časových řad s aplikacemi v ekonomii. 1. vyd. Praha: SNTL, 1986. 246 s. (CS)
PAPOULIS, A. Random Variables and Stochastic Processes. 3td ed. New York: McGraw-Hill. Inc. 2021. 659 p. ISBN 0-07-366011-6. (EN)
Recommended reading
Classification of course in study plans
- Programme D-P-C-SI (N) Doctoral
branch PST , 2 year of study, winter semester, compulsory-optional
branch FMI , 2 year of study, winter semester, compulsory-optional
branch KDS , 2 year of study, winter semester, compulsory-optional
branch MGS , 2 year of study, winter semester, compulsory-optional
branch VHS , 2 year of study, winter semester, compulsory-optional - Programme D-K-C-SI (N) Doctoral
branch VHS , 2 year of study, winter semester, compulsory-optional
branch MGS , 2 year of study, winter semester, compulsory-optional
branch PST , 2 year of study, winter semester, compulsory-optional
branch FMI , 2 year of study, winter semester, compulsory-optional
branch KDS , 2 year of study, winter semester, compulsory-optional - Programme D-K-C-GK Doctoral
branch GAK , 2 year of study, winter semester, compulsory-optional
- Programme D-K-E-CE (N) Doctoral
branch FMI , 2 year of study, winter semester, compulsory-optional
branch KDS , 2 year of study, winter semester, compulsory-optional
branch MGS , 2 year of study, winter semester, compulsory-optional
branch VHS , 2 year of study, winter semester, compulsory-optional
branch PST , 2 year of study, winter semester, compulsory-optional
Type of course unit
Lecture
Teacher / Lecturer
Syllabus