M5400 Stochasticé modely

Faculty of Science
Autumn 2000
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
RNDr. Marie Forbelská, Ph.D. (lecturer)
RNDr. Marie Forbelská, Ph.D. (seminar tutor)
Guaranteed by
prof. RNDr. Ivanka Horová, CSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Contact Person: RNDr. Marie Forbelská, Ph.D.
Prerequisites (in Czech)
M4400 Stochastické modely
Absolvování kurzu M4400 Stochastické modely.
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
Definitions and elementary properties of stochastic process. Classical deterministic model with trend, seasonal and error components. Trend analysis: linear regression models, moving average smoothnig, exponentional smoothnig. Analysis of seasonality: classical seasonal decomposition. Winterson's exponential smoothing for trend with seasonality. Box-Jenkins methodology: basic notions, stationary processes: white noise, linear process, MA-moving average process, AR-autoregressive process, ARMA-Autoregressive Moving average process.. Model identification, parameter estimation and forecasting of ARMA process. Spectral analysis of time series.: basic notions. Spectral analysis of one-dimensional time series: periodogram, detection of the hidden periodicities,spectral decomposition of stationary time series, spectral density,. estimation of the spectral density, filtering. Spectral analysis of more-dimensional time series: cross-spectral density, spectral decomposition of stationary more-dimensional time series, koherncy coefficient.
Literature
  • CIPRA, Tomáš. Analýza časových řad s aplikacemi v ekonomii. 1. vyd. Praha: SNTL - Nakladatelství technické literatury, 1986, 246 s. URL info
Assessment methods (in Czech)
Výuka týdně 2 hodiny přednášky a dvě hodiny cvičení. Kurz je zakončen zápočtem a zkouškou.
Language of instruction
Czech
Further Comments
The course can also be completed outside the examination period.
The course is taught annually.
The course is taught: every week.
The course is also listed under the following terms Autumn 1999, Autumn 2001, Autumn 2002, Autumn 2003, Autumn 2004, Autumn 2005.
  • Enrolment Statistics (Autumn 2000, recent)
  • Permalink: https://is.muni.cz/course/sci/autumn2000/M5400