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Stochastic Processes II - NSTP239

Title:	Náhodné procesy II
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	summer
E-Credits:	6
Hours per week, examination:	summer s.:4/0, 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
Teaching methods:	full-time

Guarantor:	doc. RNDr. Zuzana Prášková, CSc.
Classification:	Mathematics > Probability and Statistics
Interchangeability :	NMSA409
Is co-requisite for:	NSTP199
Is incompatible with:	NSTP039
Is pre-requisite for:	NEKN005

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Annotation -

Last update: T_KPMS (19.03.2008)

Stationary processes. Continuity, differentiation and integration. Spectral representation. Linear process. Ergodicity, central limit theorems. Prediction and filtration. ARMA models and their statistical analysis.

Aim of the course -

Last update: T_KPMS (20.05.2008)

Students gain basic knowledge of the theory of stationary processes in both time and spectral domain. The aim is also to acquaint students with basic statistical properties of time series.

Literature - Czech

Last update: T_KPMS (19.03.2008)

Anděl J.: Statistická analýza časových řad. SNTL, Praha 1976

Brockwell P.J., Davis R.A.: Time series: Theory and Methods, Springer-Verlag, New York, 1987

Prášková, Z.: Základy náhodných procesů II. Karolinum, 2004.

Teaching methods -

Last update: G_M (28.05.2008)

Lecture.

Syllabus -

Last update: T_KPMS (19.03.2008)

Stationary processes.

Continuity, differentiation and integration.

Spectral representation.

Linear process. Ergodicity, central limit theorems.

Prediction and filtration.

ARMA models and their statistical analysis.