PřF:MA142 Výp. prakt. z čas. řad II - Course Information

MA142 Výpočetní praktikum z časových řad II

Extent and Intensity

0/1/0. 1 credit(s). Type of Completion: z (credit).

Teacher(s)

RNDr. Marie Forbelská, Ph.D. (lecturer)

Guaranteed by

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

Prerequisites (in Czech)

M9141 Výpočetní praktikum z časových řad I && NOW ( MA122 Time Series II )

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)

Course objectives

Searching AR(p), MA(q), ARMA(p,q) and ARIMA(p,d,p) proceses: model identification, parameter estimation and verification. Exercises are supported by the system MATLAB: NAG Foundation Toolbox, System Identification Toolbox , Frequency Domain Identification Toolbox,Control System Toolbox (by The MathWorks, Inc.).

Literature

• CIPRA, Tomáš. Analýza časových řad s aplikacemi v ekonomii. 1. vyd. Praha: SNTL - Nakladatelství technické literatury, 1986, 246 s. URL info
• P.J.Brockwell and R.A.Davis Time Series: Theory and Applications Springer-Verlag, New York, 2-nd ed.,1993
• Jiri Anděl, Jiří. Statistická analýza časových řad SNTL, Praha, 1976
• Lennart Ljung SYSTEM IDENTIFICATION: Theory for the User Prentice Hall, Inc., Englewood Cliffs, NJ, 1987

Language of instruction

Czech

Further Comments

The course is taught annually.
The course is taught: every week.

• Enrolment Statistics (Spring 2001, recent)
  
• Permalink: https://is.muni.cz/course/sci/spring2001/MA142