May 22, 2019   0:40 a.m. Júlia, Juliana
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Multiregimes and multidimensional time series: models and application

Supervisor: prof. RNDr. Magdaléna Komorníková, PhD.


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Project description:Project aims to extend the theory of non-linear and multidimensional time series modelling. A special attention will be paid to regime-switching models (with regimes determined by observable or unobservable variables) and to different types of switching mechanisms, linked to the aggregation of some observed data. Project includes also copulas fitting to model stochastic dependence of single components in the case of multidimensional time series. The dependence of residuals of regime-switching models will be described by an auto-copula, i.e., by a joint distribution function of time's shifted random variables which generate the residuals time series. Our theoretical results will be applied to real economical and hydrological data.
Kind of project:VEGA ()
Department:Department of Mathematics and Constructive Geometry (FCE)
Project identification:1/0143/11
Project status:Successfully completed
Project start date :01. 01. 2011
Project close date:31. 12. 2013
Number of workers in the project:2
Number of official workers in the project:0