Information sheet ECTS Syllabus
Course syllabus D1-LMCR - Linear time series models and their applications (FCE - 2019/2020 - post-graduate studies)
|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:|
|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|
|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.|
|- Introduction to time series analysis.
- Decomposition of time series using multivariate regression.
- 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:|
|Language of instruction:||slovak and english or english|
|Assessed students in total: 1|
|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.