Oct 17, 2019   5:32 a.m. Hedviga
Academic information system

Course syllabus D1-LMCR - Linear time series models and their applications (FCE - 2019/2020 - post-graduate studies)


     Information sheet          ECTS          Syllabus          


     Slovak          English          


University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit code: D1-LMCR
Course unit title: Linear time series models and their applications
Mode of delivery, planned learning activities and teaching methods:
workshop2 hours weekly / 26 hours per semester of study (on-site method)

 
Credits allocated: 5
 
Recommended semester/trimester: Applied Mathematics - doctoral (semi-compulsory), 1. year
Applied Mathematics (in english language) - doctoral (semi-compulsory), 1. year
Level of study: 3.
Prerequisites for registration: none
 
Assesment methods:
seminar project, final project, test
 
Learning outcomes of the course unit:
Students will acquire knowledge of recent 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.
 
Course contents:
- Introduction to time series analysis.
- Decomposition of time series using multivariate regression.
- Autocorrelation.
- Spectral anlysis. Application of spectral analysis in single-variable and multi-variable 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 description and prediction.
 
Recommended or required reading:
Recommended:
Arlt, J. (1999) Moderní metody modelování ekonomických časových řad. GRADA Publ.
Cipra, T. (1986): Analýza časových řad s aplikacemi v ekonomii. SNTL/Alfa, Praha
Franses, P. H. (1998) Time series models for business and economic forecasting. Cambridge University Press.

 
Language of instruction: slovak and english or english
 
Notes:
 
Courses evaluation:
Assessed students in total: 1

PN
100,0 %0 %
Name of lecturer(s): prof. RNDr. Magdaléna Komorníková, PhD. (examiner, instructor, lecturer, person responsible for course, tutor) - slovak, english
 
Last modification: 31. 10. 2017
Supervisor: prof. RNDr. Magdaléna Komorníková, PhD. and programme supervisor


Last modification made by Ing. Peter Korčák on 10/31/2017.

Type of output: