PřF:M9120 Time Series - Course Information

M9120 Time Series

Extent and Intensity

2/0/0. 6 credit(s). Type of Completion: zk (examination).

Teacher(s)

doc. RNDr. Vítězslav Veselý, CSc. (lecturer)

Guaranteed by

doc. RNDr. Vítězslav Veselý, CSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Contact Person: doc. RNDr. Vítězslav Veselý, CSc.

Prerequisites (in Czech)

( M7110 Statistics I || M5300 Statistics ) && (( M5170 Complex Analysis && M6150 Linear Functional Analysis I ) || M4140 Selected Topic in Math.Anal. )

Course Enrolment Limitations

The course is also offered to the students of the fields other than those the course is directly associated with.

fields of study / plans the course is directly associated with

• Mathematics - Economics (programme PřF, M-AM)
• Mathematics (programme PřF, M-MA, specialization Applied Mathematics)
• Mathematics (programme PřF, N-MA, specialization Applied Mathematics)

Syllabus

• Random process, decomposition model in time series analysis, identification of the periodic components, linear systems, the best linear prediction, Box-Jenkins methodology (BJM), ARMA processes as a special case of BJM, searching an ARMA model, SARIMA processes as a special case of BJM.
• Note: Computer-aided exercises are supported by the system MATLAB.
• See http://www.math.muni.cz/~vesely/educ/cr1sylle.ps and http://www.math.muni.cz/~vesely/educ/cr2sylle.ps for more details.

Language of instruction

Czech

Further comments (probably available only in Czech)

Information on completion of the course: Zkouška je až po dvou semestrech
The course can also be completed outside the examination period.
The course is taught annually.
The course is taught: every week.

Teacher's information

http://www.math.muni.cz/~vesely/educ_cz.html#cas_rady

• Enrolment Statistics (recent)
  
• Permalink: https://is.muni.cz/course/sci/autumn1999/M9120