MMEF02 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 otevřen studentům libovolného oboru.
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, léto 1991, zima 1991, léto 1992, zima 1992, léto 1993, zima 1993, léto 1994, zima 1994, léto 1995, zima 1995, léto 1996, zima 1996, léto 1997, zima 1997, léto 1998, zima 1998, léto 1999, zima 1999, léto 2000, zima 2000, léto 2001, zima 2001, léto 2002, zima 2002, léto 2003, zima 2003, léto 2004, zima 2004, léto 2005, zima 2005, léto 2006, léto 2007, zima 2007, léto 2008.