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Time Series 1 - NSTP151

Title:	Časové řady 1
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2014 to 2017
Semester:	winter
E-Credits:	3
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	not taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	doc. RNDr. Zuzana Prášková, CSc. RNDr. Šárka Hudecová, Ph.D.
Class:	DS, pravděpodobnost a matematická statistika DS, ekonometrie a operační výzkum
Classification:	Mathematics > Probability and Statistics
Interchangeability :	NMST605

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Annotation -

Last update: T_KPMS (18.04.2003)

Selected topics of time series analysis for PhD students: ARMA processes, forecasting, maximum likelihood estimation, spectral analysis of time series, limit theorems for serially dependent observations.

Aim of the course -

Last update: T_KPMS (20.05.2008)

The aim of the subject is to provide information on advanced theoretical results and new developments in time series analysis. Further, the aim is to school the students in theoretical procedures and methods of research in this field.

Literature - Czech

Last update: T_KPMS (06.02.2007)

Hamilton, J.D. (1994): Time Series Analysis. Princeton Univ. Press, Princeton, kap. 1-7.

Wei, W.W.S. (1990): Time Series Analysis. Addison-Wesley Publ. Comp., kap. 1-13.

Teaching methods -

Last update: G_M (27.05.2008)

Lecture.

Syllabus -

Last update: T_KPMS (18.04.2003)

ARMA processes, forecasting, maximum likelihood estimation, spectral analysis of time series, limit theorems for serially dependent observations.