PMCRI Time Series I.

Faculty of Economics and Administration
Spring 2009
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
PMVPPM Selected topics in maths
The course is intended for the 1st year MSc students of the study program "Mathematical and statistical methods in economy".
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. The standard concepts of additive and multiplicative decomposition modeling as well as various detrending procedures will be explained. Also additional topics related to variance stabilization and randomness testing are included.
Time series I is a first run of a two-term course followed by Time series II, a part of which is a computer-aided tutorial where the students will gain practical skills in time series modeling.
Syllabus
  • The course involves topics as follows.
  • 1. Time series as a special case of a random process: definition and examples
  • 2. Consistent system of distribution functions
  • 3. Moment functions (mean, autocovariance and autocorrelation function), their properties and estimates
  • 4. Strict and weak stationarity, white noise
  • 5. Time-series models (overview): additive and multiplicative decomposition, Box-Jenkins methodology
  • 6. Transformations stabilizing variance: Box-Cox and power transformation
  • 7. Identification of periodic components: periodogram, Fisher's and Siegel's testing statistics
  • 8. Using regression in time series decomposition and prediction, and other related techniques 9. Detrending: linear filtration (moving average) and stepwise linear regression, exponential weighting and other related techniques
  • 10. Randomness tests
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
Assessment methods
The course has a form of a lecture (2 lessons) and is concluded by an oral exam.
Language of instruction
Czech
Follow-Up Courses
Further Comments
Study Materials
The course is taught annually.
The course is also listed under the following terms Spring 2008.
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/econ/spring2009/PMCRI