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OPF:INMNASTZ Statistical Data Processing - Course Information

## INMNASTZ Statistical Data Processing

**School of Business Administration in Karvina**

Winter 2015

**Extent and Intensity**- 2/1/0. 5 credit(s). Type of Completion: zk (examination).
**Teacher(s)**- prof. RNDr. Jaroslav Ramík, CSc. (lecturer)

Mgr. Radmila Krkošková, Ph.D. (seminar tutor)

Ing. Elena Mielcová, Ph.D. (seminar tutor) **Guaranteed by**- prof. RNDr. Jaroslav Ramík, CSc.

Department of Informatics and Mathematics - School of Business Administration in Karvina

Contact Person: Mgr. Radmila Krkošková, Ph.D. **Prerequisites**- No conditions for studying the subject is necessary.
**Course Enrolment Limitations**- The course is also offered to the students of the fields other than those the course is directly associated with.
**fields of study / plans the course is directly associated with**- Banking (programme OPF, N_HOSPOL)
- Economy of Enterprise in Trade and Services (programme OPF, N_EKOMAN)
- Managerial Informatics (programme OPF, N_SYSINF)

**Course objectives**- Following the subject Statistics at bachelor's level to provide further explanation of mathematical statistics, the main findings of this theory and basic statistical methods. Presenting the subject with regard to the application of the economic environment. Get computer skills and learn how to deal with the statistical data using SPSS and Excel on a computer.
**Syllabus**- 1. Analysis of variance (ANOVA) - One factor

2. Analysis of variance - Two and more factors, nonparametric ANOVA

3. Regression Analysis - One-dimensional, linear

4. Regression Analysis - One-dimensional, nonlinear

5. Regression Analysis - Multi-dimensional

6. Regression Analysis - Multidimensional: Multicolinearity, heteroscedasticity, autocorrelation

7. Basics of Time Series Analysis

8. Trend analysis of time series

9. Analysis of seasonal and random components of time series

10. Exponential smoothing models of time series

11. ARIMA models

12. SARIMA models

13. Forecasting of time series

1. Analysis of variance (ANOVA) - One factor

Independent and dependent factors, assumptions of analysis of variance with one factor. Procedure for the analysis of variance with one factor. The rate of dependence, determinative and correlation ratio.

2. Analysis of variance - Two and more factors, nonparametric ANOVA

Analysis of variance with two factors. Assumptions of ANOVA with two factors. Two-factor ANOVA without interaction and interaction. Kruskal-Wallis nonparametric ANOVA.

3. Regression Analysis - One-dimensional, linear

What is regression analysis (RA) - a simple, multiple, linear, nonlinear. The essence of simple linear RA - scatter diagram, regression, regression coefficients, adhesion, coefficient of determination, tests of hypotheses.

4. Regression Analysis - One-dimensional, nonlinear

Simple linear RA - basic types of nonlinearities, Törnquist curves and their applications in economics.

5. Regression Analysis - Multi-dimensional

Multiple linear RA - criterion, predictors, regression hyperplane, the coefficient of determination. Using the VRA for nominal predictors and correlation coefficients. Application examples of the economic area (marketing research).

6. Regression Analysis - Multidimensional: Multicolinearity, heteroscedasticity, autocorrelation

Population and sample regression function. Classical multivariate linear regression model. Multicollinearity and its causes. Heteroscedasticity, tests H-S (Park test, Bartley test) and its removal. Autocorrelation (sign test).

7. Basics of Time Series Analysis

Types of economic time series. Elemental characteristics of time series. Models of economic time series - decomposition, exponential smoothing, ARIMA.

8. Trend analysis of time series

Analytical methods for the determination of trends of time series: regression analysis (least squares method, maximum likelihood method). Synthetic methods: moving averages, exponential smoothing.

9. Analysis of seasonal and random components of time series

Analysis of seasonal component: models with constant seasonality with a step trend, with a linear trend. Models of proportional seasonality. Analysis of random component: statistical tests of random component using residues.

10. Exponential smoothing models of time series

Exponential smoothing models (simple, Holt, Winters model).

11. ARIMA models

Stochastic process and its stationarity. Fundamentals of ARIMA models: models AR, MA, I, ARIMA. Identification of ARIMA model using the autocorrelation function (ACF) and partial autocorrelation function (PACF). Calculation of ARIMA model, model verification, prediction of the ARIMA model.

12. SARIMA models

Identification of the SARIMA model using the autocorrelation function and partial autocorrelation function.

13. Forecasting of time series

The forecast ex-post and ex-ante, point and interval forecasts. Forecasting in linear regression models. Forecasting in ARIMA and SARIMA models.

- 1. Analysis of variance (ANOVA) - One factor
**Literature**- DAVIDSON R., MACKINNON, J. G.
*Econometric Theory and Methods*. New York: Oxford University Press, 2004. info - GURAJATI, D. N.
*Basic Econometrics, 4. Ed.*Mc Graw-Hill, Singapore, 2003. ISBN 0-07-233542-4. info - DANIEL,W.W., TERREL,J.C.
*Business Statistics*. Boston, USA, 1989. ISBN 0-395-56905-3. info

*recommended literature*- DAVIDSON R., MACKINNON, J. G.
**Teaching methods**- Skills demonstration

Seminar classes **Assessment methods**- Written exam

Written test **Language of instruction**- English
**Further comments (probably available only in Czech)**- The course can also be completed outside the examination period.
**Teacher's information**- written test, 70% attendance at seminars, final exam: written
Activity Difficulty [h] Ostatní studijní zátěž 61 Přednáška 26 Seminář 13 Zkouška 40 **Summary**140

- Enrolment Statistics (Winter 2015, recent)
- Permalink: https://is.slu.cz/course/opf/winter2015/INMNASTZ