Information sheet ECTS Syllabus
Course syllabus I1-ACAR - Time series applications (FCE - WS 2019/2020)
|University:||Slovak University of Technology in Bratislava|
|Faculty:||Faculty of Civil Engineering|
|Course unit code:||I1-ACAR|
|Course unit title:||Time series applications|
|Mode of delivery, planned learning activities and teaching methods:|
|Recommended semester/trimester:||Mathematical and Computational Modeling - master (compulsory), 1. semester|
|Level of study:||2.|
|Prerequisites for registration:||none|
|Obtain at least 22 points during the semester (including 12 points from projects in exercises); obtain at least 34 points on the test (along with points during the semester at least 56 points)|
|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 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). Nonlinear models of time series of the SETAR and STAR types (Self-Exciting Transition Autoregressive and 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 or english|
|Assessed students in total: 30|
|Name of lecturer(s):||doc. Ing. Tomáš Bacigál, PhD. (instructor, lecturer, person responsible for course) - slovak, english |
prof. RNDr. Magdaléna Komorníková, PhD. (examiner, lecturer, tutor) - slovak, english
|Last modification:||21. 3. 2019|
|Supervisor:||doc. Ing. Tomáš Bacigál, PhD. and programme supervisor|
Last modification made by Ing. Marián Dubík on 03/21/2019.