Oct 17, 2019   5:32 a.m. Hedviga
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# 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:
 workshop 2 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: PDF output (PDF)Document RTF (RTF)XML format for IS (XML IL)