|
|
|
||
Last update: T_KPMS (07.05.2014)
|
|
||
Last update: T_KPMS (06.05.2014)
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: doc. RNDr. Zuzana Prášková, CSc. (29.10.2019)
oral exam |
|
||
Last update: doc. RNDr. Zuzana Prášková, 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: T_KPMS (06.05.2014)
Lecture. |
|
||
Last update: doc. RNDr. Zuzana Prášková, CSc. (29.10.2019)
submitting a report on numerical solution of a given problem concerning the study subject |
|
||
Last update: T_KPMS (07.05.2014)
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.
|