Information sheet ECTS Syllabus
Course syllabus B1-ACR - Time series analysis (FCE - SS 2019/2020)
|University:||Slovak University of Technology in Bratislava|
|Faculty:||Faculty of Civil Engineering|
|Course unit code:||B1-ACR|
|Course unit title:||Time series analysis|
|Mode of delivery, planned learning activities and teaching methods:|
|Recommended semester/trimester:||Mathematical and Computational Modeling - bachelor (compulsory), 6. semester|
|Level of study:||1.|
|Prerequisites for registration:||passed Statistical methods (B1-STM)|
After each lecture (with the exception of the last two) there will be a test from the theory covered by the lecture (for each of those tests a student can obtain 1 point at most, i.e. altogether no more than 10 points). These points together with the points of the programmes on exercises (maximum 25 points) shall be added to points from the exam. For course credit at least 60% (i.e., 21 points) are required.
The test has two parts: the theoretical exam (a maximum of 30 points) and practical (project - a maximum of 35 points).
|Learning outcomes of the course unit:|
|On completion of this course students will acquire knowledge of current 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.
- Autocorrelation analysis.
- Spectral anlysis. Application of spectral analysis in one- and multi-dimensional 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 prediction.
|Recommended or required reading:|
|Language of instruction:||slovak or english|
|Assessed students in total: 48|
|Name of lecturer(s):||doc. Ing. Tomáš Bacigál, PhD. (examiner, instructor, lecturer) - slovak, english |
prof. RNDr. Magdaléna Komorníková, PhD. (lecturer, person responsible for course, tutor) - slovak, english
Ing. Adam Šeliga (instructor, tutor)
|Last modification:||16. 4. 2019|
|Supervisor:||prof. RNDr. Magdaléna Komorníková, PhD. and programme supervisor|
Last modification made by Ing. Peter Korčák on 04/16/2019.