Course Details
Time series analysis
Academic Year 2023/24
DA65 course is part of 12 study plans
D-P-C-SI (N) / PST Winter Semester 2nd year
D-P-C-SI (N) / FMI Winter Semester 2nd year
D-P-C-SI (N) / KDS Winter Semester 2nd year
D-P-C-SI (N) / MGS Winter Semester 2nd year
D-P-C-SI (N) / VHS Winter Semester 2nd year
D-K-C-SI (N) / VHS Winter Semester 2nd year
D-K-C-SI (N) / MGS Winter Semester 2nd year
D-K-C-SI (N) / PST Winter Semester 2nd year
D-K-C-SI (N) / FMI Winter Semester 2nd year
D-K-C-SI (N) / KDS Winter Semester 2nd year
D-K-C-GK / GAK Winter Semester 2nd year
D-K-E-SI (N) / PST Winter Semester 2nd year
Decomposition of time series -moving averages, exponential smoothing, Winters seasonal smoothing.
The Box-Jenkins approach (linear process, moving average process, autoregressive process, mixed autoregression-moving average process - identification of a model, estimation of parameters, verification of a model).
Spectral density and periodogram.
The use of statistical system STATISTICA and EXCEL for time analysis.
Course Guarantor
Institute
Objective
Using statistical programs, they should be able to identify Box-Jenkins models, estimate the parameters of a model, judge the adequacy of a model and construct forecasts.
Syllabus
2. Stationary process.
3. Ergodic process.
4. Linear regression model.
5. Linear regression model.
6. Decomposition of time series. Regression approach to trend.
7. Moving average.
8. Exponential smoothing.
9. Winter´s seasonal smoothing.
10. Periodical model - spectral density and periodogram.
11. Linear process. Moving average process - MA(q).
12. Autoregressive process - AR(p).
13. Mixed autoregression - moving average process - ARMA(p,q), ARIMA(p,d,q).
Prerequisites
Basics of the theory of probability, mathematical statistics and linear algebra - the normal distribution law, numeric characteristics of random variables and vectors and their point and interval estimates, principles of the testing of statistical hypotheses, solving a system of linear equations, inverse to a matrix
Language of instruction
Czech
Credits
10 credits
Semester
Forms and criteria of assessment
Specification of controlled instruction, the form of instruction, and the form of compensation of the absences
Offered to foreign students
Course on BUT site
Lecture
13 weeks, 3 hours/week, elective
Syllabus