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Fundamentals of Mathematical Modelling - NMFM310

Title:	Základy matematického modelování
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2014 to 2014
Semester:	summer
E-Credits:	5
Hours per week, examination:	summer s.:2/2, C+Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Class:	M Bc. FM M Bc. FM > Povinné
Classification:	Mathematics > Probability and Statistics
Co-requisite :	NMFM301
Incompatibility :	NMOD009
Interchangeability :	NMOD009
Is interchangeable with:	NMOD009

Annotation -

Last update: G_M (15.05.2012)

The lecture is dedicated to analysis and modelling of temporal data. Required course for bachelor's program in Financial mathematics.

Aim of the course -

Last update: G_M (24.04.2012)

Introduce students into basic methods for analysis nad modelling of temporal data.

Literature - Czech

Last update: RNDr. Michaela Prokešová, Ph.D. (06.09.2013)

Mandl P.: Pravděpodobnostní dynamické modely. Academia Praha 1985

Prášková, Z., Lachout, P.: Základy náhodných procesů I, Matfyzpress, Praha 2012

Prášková, Z.: Základy náhodných procesů II. Karolinum, 2004.

Teaching methods -

Last update: G_M (24.04.2012)

Lecture+exercises.

Syllabus -

Last update: G_M (24.04.2012)

1. Data analysis, moving averages

2. Growth models.

3. Linear systems.

4. Markov chains with discrete time and statespace.

5. Time series, ARMA processes.

6. Poisson process and related models