Nov 20, 2019   5:31 p.m. Félix
Academic information system

Course syllabus B1-ACR - Time series analysis (FCE - SS 2018/2019)

     Information sheet          ECTS          Syllabus          

     Slovak          English          

University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit code: B1-ACR
Course unit title: Time series analysis
Mode of completion and Number of ECTS credits: Exam (4 credits)
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.

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

Type of output: