Information sheet ECTS Syllabus
Course syllabus D1-NMCR - Nonlinear 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-NMCR|
|Course unit title:||Nonlinear 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:|
|Formulation and solution of real problems in the field of time series modelling. Acquiring fundamental knowledge about different types of non-linear time series models. After the course completion a student will be able to use a statistical test to determine, whether a linear or a non-linear model is more suitable for a given time series, and in the case of non-linear model to choose from the class of non-linear regime-switching models, and finally he will be able to apply the knowledge for time series description and prediction.
|- Tests for linearity/nonlinearity of time series
- Nonlinear models of time series of type TAR (Threshold AutoRegressive), STAR types (Self-Exciting Transition Autoregressive, Smooth Transition Autoregressive) and MSW-AR (Markov Switching AutoRegressive).
- Selection of an appropriate type of nonlinear model for a given time series, parameter estimation and tests of appropriateness.
- Applications of nonlinear time series models for the description and forecasting future values of the series.
|Recommended or required reading:|
|Language of instruction:||slovak and english or english|
|Assessed students in total: 3|
|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.