PMCRI Time Series I.

Faculty of Economics and Administration
Spring 2008
Extent and Intensity
2/0. 3 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. RNDr. Vítězslav Veselý, CSc. (lecturer)
Guaranteed by
doc. RNDr. Vítězslav Veselý, CSc.
Department of Applied Mathematics and Computer Science – Faculty of Economics and Administration
Contact Person: Lenka Hráčková
Timetable
Wed 9:20–11:00 P102
Prerequisites (in Czech)
PMVPPM Selected topics in maths
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 14 student(s).
Current registration and enrolment status: enrolled: 0/14, only registered: 0/14, only registered with preference (fields directly associated with the programme): 0/14
fields of study / plans the course is directly associated with
Course objectives
The purpose of the course is to give a theoretical introduction to time series analysis. The students will be made familiar with basic terminology and characteristics of time series analysis. Both the standard concepts of modeling and the principle of best linear prediction will be explained along with the basics of the theory of linear systems which is a starting point of the Box-Jenkins methodology involving the commonly used ARMA and ARIMA models. Time series I is a first run of a two-term course followed up with Time series II, a part of which is a computer-aided tutorial where the students will get practical skill in time series modeling.
Literature
  • CIPRA, Tomáš. Analýza časových řad s aplikacemi v ekonomii. 1. vyd. Praha: SNTL - Nakladatelství technické literatury, 1986, 246 s. URL info
  • ANDĚL, Jiří. Statistická analýza časových řad. Praha: SNTL, 1976. info
  • BROCKWELL, Peter J. and Richard A. DAVIS. Introduction to time series and forecasting. 2nd ed. New York: Springer, 2002, xiv, 434. ISBN 0387953515. info
  • HAMILTON, James Douglas. Time series analysis. Princeton, N.J.: Princeton University Press, 1994, xiv, 799 s. ISBN 0-691-04289-6. info
  • BROCKWELL, P.J. and R.A. DAVIS. Time series:Theory and Methods. 2-nd edition 1991. Hardcover: Corr. 6th printing, 1998. Springer Series in Statistics. ISBN 0-387-97429-6. info
  • LJUNG, L. System Identification-Theory For the User. 2nd ed. PTR Prentice Hall: Upper Saddle River, 1999. info
  • LJUNG, L. System Identification Toolbox for use with MATLAB-Users Guide. Natick, 2005. The Maths Works. info
Language of instruction
Czech
Further Comments
Study Materials
The course is taught annually.
The course is also listed under the following terms Spring 2009.
  • Enrolment Statistics (Spring 2008, recent)
  • Permalink: https://is.muni.cz/course/econ/spring2008/PMCRI