Subjects

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Time Series 2 - NSTP152

Title:	Časové řady 2
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	cancelled
Language:	Czech
Teaching methods:	full-time

Guarantor:	doc. RNDr. Zuzana Prášková, CSc. RNDr. Šárka Hudecová, Ph.D.
Class:	DS, pravděpodobnost a matematická statistika DS, ekonometrie a operační výzkum
Classification:	Mathematics > Probability and Statistics
Interchangeability :	NMST605

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Annotation -

Selected topics of time series analysis for PhD students:vector processes, cointegration, Bayesian analysis, nonstationary processes, nonlinear models.

Last update: T_KPMS (18.04.2003)

Aim of the course -

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 (20.05.2008)

Literature - Czech

Hamilton, J.D. (1994): Time Series Analysis. Princeton University Press, Princeton, kap. 10-12, 19.

Luetkepohl, H.(1991): Introduction to Multiple Time Series Analysis. Springer, Berlin.

Tong, H. (1990): Non-linear Time Series. Clarendon Press, Oxford.

Last update: T_KPMS (06.02.2007)

Teaching methods -

Lecture.

Last update: G_M (27.05.2008)

Syllabus -

Vector processes, cointegration, Bayesian analysis, nonstationary processes, nonlinear models.

Last update: T_KPMS (18.04.2003)