Information sheet ECTS Syllabus
Course syllabus B1-ACR - Time series analysis (FCE - SS 2018/2019)
|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|
|- 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:|
|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.
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.