Odhadovanie parametrov v modeloch časových radov
| Thesis title in thesis language (Slovak): | Odhadovanie parametrov v modeloch časových radov |
|---|---|
| Thesis title in Czech: | Odhadování parametrů v modelech časových řad |
| Thesis title in English: | Parameter estimating in time series models |
| Key words: | lineárne modely časových radov, ARMA, metóda maximálnej vierohodnosti |
| English key words: | linear time series models, ARMA, maximum likelihood estimation |
| Academic year of topic announcement: | 2019/2020 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | slovenština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Jitka Zichová, Dr. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 10.10.2019 |
| Date of assignment: | 06.11.2019 |
| Confirmed by Study dept. on: | 21.11.2019 |
| Date and time of defence: | 24.09.2020 08:00 |
| Date of electronic submission: | 30.07.2020 |
| Date of submission of printed version: | 30.07.2020 |
| Date of proceeded defence: | 24.09.2020 |
| Opponents: | doc. RNDr. Zuzana Prášková, CSc. |
| Guidelines |
| Posluchač/ka se zaměří na podrobné studium odhadových metod v modelech typu ARMA, provede odvození a ilustrace pro modely nižších řádů a prozkoumá implementaci odhadových metod v běžně používaných softwarových produktech. |
| References |
| Box, G. E. P., Jenkins, G. M., Reinsel, G.: Time Series Analysis. Forecasting and Control. Prentice-Hall, New Jersey, 1994.
Ljung, G.M., Box, G.E.P.: The likelihood function of stationary autoregressive-moving average models. Biometrika 66 (1979), 265-270. Newbold, P.: The exact likelihood function for a mixed autoregressive - moving average process. Biometrika 61 (1974), 423-426. |