Nov 12, 2019   2:48 p.m. Svätopluk
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Course syllabus B1-ACR - Time series analysis (FCE - SS 2018/2019)


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University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit title: Time series analysis
Course unit code: B1-ACR
Mode of completion and Number of ECTS credits: Exam (4 credits)
 
Name of lecturer: doc. Ing. Tomáš Bacigál, PhD. (examiner, instructor, lecturer) - slovak, english
prof. RNDr. Magdaléna Komorníková, PhD. (lecturer, person responsible for course, tutor) - slovak, english
 
Learning outcomes of the course unit:
On completion of this course students will acquire knowledge of current methods of time series analysis, their decomposition by means of multidimensional regression, autocorrelation analysis, time series forecasting, model identification methodology, parameter estimates, model verification, and spectral analysis of one- and multi-dimensional time series. After the course completion a student should be able to analyze real time series, build their linear models and use them for description and prediction.
 
Prerequisites and co-requisites: passed Statistical methods
 
Course contents:
- Introduction to time series analysis.
- Decomposition of time series using multivariate regression.
- Autocorrelation analysis.
- Spectral anlysis. Application of spectral analysis in one- and multi-dimensional time series analysis.
- Box - Jenkins methodology: model identification (AR, MA, ARMA, ARIMA, SARIMA), parameters estimation, model checking.
- New models in Box - Jenkins methodology (ARCH, GARCH).
- Time series prediction.
 
Recommended or required reading:
Basic:
CIPRA, T. Analýza časových řad s aplikacemi v ekonomii. Praha : SNTL, 1986. 246 p.
ARLT, J. Moderní metody modelování ekonomických časových řad. Praha: GRADA Publ., 1999.
FRANSES, P. Time series models for business and economic forecasting. Cambridge: Cambridge University Press, 1998.

 
Planned learning activities and teaching methods: lecture: 2 hours weekly / 24 hours per semester of study (on-site method)
exercise: 2 hours weekly / 24 hours per semester of study (on-site method)
 
Assesment methods and criteria: Regular assessment:
During the semester students develop a term project.

Final evaluation:
Students shall submit a final project, which is, together with a written test, the basis for the oral examination.
 
Language of instruction: Slovak, English
 
Work placement(s): There is no compulsory work placement in the course unit.


Last modification made by Ing. Peter Korčák on 02/28/2019.

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