M5201 Stochastic models of time series

Faculty of Science
Autumn 2016
Extent and Intensity
2/2. 4 credit(s) (fasci plus compl plus > 4). Type of Completion: zk (examination).
Teacher(s)
doc. Mgr. David Kraus, Ph.D. (lecturer)
Guaranteed by
prof. RNDr. Ivanka Horová, CSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science
Timetable
Mon 19. 9. to Sun 18. 12. Tue 14:00–15:50 M3,01023
  • Timetable of Seminar Groups:
M5201/01: Mon 19. 9. to Sun 18. 12. Mon 16:00–17:50 MP2,01014a, D. Kraus
Prerequisites
Basics of calculus, linear algebra, probability theory and mathematical statistics
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
This is an introductory course offering an overview of basic models and methods for time series and their relation to other topics in statistics. The course covers statistical models, software implementation, application and interpretation. The students are taught to recognize situations that can be addressed by basic models, choose an appropriate model, implement it and interpret the results.
Syllabus
  • Basic concepts.
  • Models for deterministic components (trend, seasonality).
  • Models for stationary and non-stationary stochastic components (ARMA models and their extensions).
  • Estimation and prediction.
  • Selected advanced models.
Literature
  • COWPERTWAIT, Paul S. P. and Andrew V. METCALFE. Introductory time series with R. New York, N.Y.: Springer, 2009, xv, 254. ISBN 9780387886978. info
  • CRYER, Jonathan D. and Kung-Sik CHAN. Time series analysis : with applications in R. 2nd ed. [New York]: Springer, 2008, xiii, 491. ISBN 9780387759586. info
  • FORBELSKÁ, Marie. Stochastické modelování jednorozměrných časových řad (Stochastic Univariate Time Series Models). 1st ed. Brno: Masarykova univerzita, 2009, 251 pp. 4761/Př-3/09-17/31. ISBN 978-80-210-4812-6. info
Teaching methods
Lectures, exercises, practical project
Assessment methods
  • Satisfactory oral presentation of the practical project at the exercise session.
  • Bonus midterm written exam (score B between 0 and 100).
  • Final written exam (score F between 0 and 100).
  • Total score T is defined as 0.75*F + 0.25*max(F,B) rounded to the nearest integer.
  • Score-to-grade conversion: A for T in [91,100], B for T in [81,90], C for T in [71,80], D for T in [61,70], E for T in [51,60], F for T in [0,50].
    • Language of instruction
    Czech
    Further Comments
    The course is taught annually.
    Teacher's information
    https://is.muni.cz/auth/el/1431/podzim2016/M5201/index.qwarp
    The course is also listed under the following terms Autumn 2011, Autumn 2011 - acreditation, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015.
    • Enrolment Statistics (recent)
    • Permalink: https://is.muni.cz/course/sci/autumn2016/M5201