PřF:M9121 Time Series I - Course Information
M9121 Time Series I
Faculty of Scienceautumn 2017
- Extent and Intensity
- 2/2/0. 4 credit(s) (příf plus uk k 1 zk 2 plus 1 > 4). Type of Completion: zk (examination).
- Teacher(s)
- doc. Mgr. David Kraus, Ph.D. (lecturer)
- Guaranteed by
- doc. PaedDr. RNDr. Stanislav Katina, Ph.D.
Department of Mathematics and Statistics – Departments – Faculty of Science
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science - Timetable
- Mon 18. 9. to Fri 15. 12. Mon 18:00–19:50 M2,01021
- Timetable of Seminar Groups:
- Prerequisites
- Calculus, linear algebra, basics of probability theory and mathematical statistics, theory of estimation and hypotheses testing, linear regression, working knowledge of R software
- 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
- Mathematics - Economics (programme PřF, M-AM)
- Mathematics (programme PřF, M-MA, specialization Applied Mathematics)
- Mathematics (programme PřF, N-MA, specialization Applied Mathematics)
- Course objectives
- The course offers a comprehensive coverage of selected methods and models for time series. The couse covers theoretical foundations, statistical models and inference, software implementation, application and interpretation.
- Learning outcomes
- The students will gain a deeper understanding of the methods and their relations and learn to recognize situations that can be addressed by the models discussed in the course, choose an appropriate model, implement it and interpret the results.
- Syllabus
- Probabilistic foundations, basic notions.
- Statistical inference for autocorrelation.
- Analysis of deterministic components, parametric and nonparametric decomposition and regression analysis.
- Prediction principles, simple methods.
- ARMA models for stationary time series and their extensions.
- Literature
- BROCKWELL, Peter J. and Richard A. DAVIS. Time series :theory and methods. 2nd ed. New York: Springer-Verlag, 1991, xvi, 577 s. ISBN 0-387-97429-6. info
- 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
- SHUMWAY, Robert H. and David S. STOFFER. Time Series Analysis and Its Applications: With R Examples. Third Edition. New York: Springer-Verlag, 2011. Available from: https://dx.doi.org/10.1007/978-1-4419-7865-3. URL 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
- Follow-Up Courses
- Further Comments
- The course is taught annually.
- Listed among pre-requisites of other courses
- Teacher's information
- https://is.muni.cz/auth/el/1431/podzim2017/M9121/index.qwarp
- Enrolment Statistics (autumn 2017, recent)
- Permalink: https://is.muni.cz/course/sci/autumn2017/M9121