MME902S Time Series Analysis

Obchodně podnikatelská fakulta v Karviné
zima 2006
Rozsah
1/2/0. 5 kr. Ukončení: z.
Vyučující
Mgr. Radmila Krkošková, Ph.D. (přednášející)
Mgr. Radmila Krkošková, Ph.D. (cvičící)
Ing. Filip Tošenovský, Ph.D. (cvičící)
Garance
Mgr. Radmila Krkošková, Ph.D.
Katedra informatiky a matematiky – Obchodně podnikatelská fakulta v Karviné
Omezení zápisu do předmětu
Předmět je nabízen i studentům mimo mateřské obory.
Mateřské obory/plány
předmět má 6 mateřských oborů, zobrazit
Cíle předmětu
The course objective is to introduce the students with statistical methods used in economic time series analysis, e.g. classical decomposition methods, Box-Jenkinson methodology, spectral methods. Solving of practical problems by using these methods on personal computer is emphasised.
Osnova
  • Structure of the Course:
    1. Importance, basic approaches and specific problems in time series analysis
    2. Decomposition of time series
    3. Box-Jenkinson methodology and spectral analysis
    4. Utilization of statistical software on PC
    Content of the course:
    1. Importance, basic approaches and specific problems in time series analysis.
    Dynamics of economic behaviour, interval and point indicators, chronologic average, additive and multiplicative models, one-dimensional and multi-dimensional models, time component, basic characteristics.

    2. Decomposition of time series
    Trend, seasonal and erratic component, choosing the adequate model, seasonal models, adaptive models, exponential smoothing.
    3. Box-Jenkinson methodology and spectral analysis
    Autoregressive models AR, moving average models MA, models ARMA and ARIMA, extrapolation and forecasting of time series, measuring forecasting accuracy, spectral analysis. Stationary stochastic processes, autocovariance matrix, autocorrelation function, advantages and disadvantages of autocorrelation function for time series analysis.
    4. Utilization of statistical software on PC
    Microsoft Excel, SPSS and their utilization for solving practical problems on PC.

    Presentation media and PC are used in the framework of education. Seminars are taught in computer classrooms. Educational materials in electronic form are available on faculty computer network.
Informace učitele
Seminary work, final exam.
Další komentáře
Předmět je dovoleno ukončit i mimo zkouškové období.
Předmět je zařazen také v obdobích zima 1990, zima 1991, zima 1992, zima 1993, zima 1994, zima 1995, zima 1996, zima 1997, zima 1998, zima 1999, zima 2000, zima 2001, zima 2002, zima 2003, zima 2004, zima 2005, zima 2007.