|
|
|
||
|
Selected topics in time series for PhD students: limit theorems for serially dependent observations, asymptotic
properties of estimations. Spectral analysis of time series, periodogram and estimation of spectral density. Vector
time series, stationarity, correlations and spectrum, cointegration. Nonstationary and nonlinear time series,
financial time series.
Last update: T_KPMS (07.05.2014)
|
|
||
|
The aim of the subject is to provide information on advanced theoretical results and new developments in time series analysis. Further, the aim is to school the students in theoretical procedures and methods of research in this field. Last update: T_KPMS (06.05.2014)
|
|
||
|
oral exam Last update: Prášková Zuzana, doc. RNDr., CSc. (29.10.2019)
|
|
||
|
Hamilton J. D. (1994): Time Series Analysis, Princeton Univ. Press, Princeton Lütkepohl H. (2005): New Introduction to Multiple Time Series Analysis. Springer, Berlin. Brockwell, P. J., Davis, R.A. (2009): Time Series: Theory and Methods. 2nd print. of 1991, Chapters 7-13 Wei W. W. S. (2006): Time Series Analysis. Univariate and multivariate methods. Addison-Wesley, 2nd ed. Tsay, R. S: (2010): Analysis of Financial Time Series, Wiley, Hoboken, 3rd ed. Last update: Prášková Zuzana, doc. RNDr., CSc. (29.10.2019)
|
|
||
|
Lecture. Last update: T_KPMS (06.05.2014)
|
|
||
|
submitting a report on numerical solution of a given problem concerning the study subject Last update: Prášková Zuzana, doc. RNDr., CSc. (29.10.2019)
|
|
||
|
Limit theorems for serially dependent observations, estimation of basic characteristics, asymptotic properties. Spectral analysis of time series, periodogram and estimation of spectral density. Vector time series, stationarity, correlations and spectrum, cointegration. Nonlinear and nonstationary time series, financial time series.
Last update: T_KPMS (07.05.2014)
|