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CZECH TECHNICAL UNIVERSITY IN PRAGUE
STUDY PLANS
2022/2023

Prediction of time series

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Code Completion Credits Range Language
20Y2PR KZ 2 2P+0C Czech
Lecturer:
Tutor:
Supervisor:
Department of Transport Telematics
Synopsis:

Introduction to time series prediction, meaning of prediction, basics of quantitative prediction. Methods for predictive quality evaluation, descriptive statistics, MAE, MAPE, RMSE, naive prediction, prediction for general formula of loss function. Calculation and programming environment R. Regression models, basics of linear regression, simple regression. Multiple regression, statistical tests of linear dependence, selection of input variables.

Requirements:

mathematical analysis, statistics

Syllabus of lectures:
Syllabus of tutorials:
Study Objective:

The aim of the course is to acquaint students with the possibilities of prediction of time series, to teach students to understand the prediction quality evaluation and to create simple regression models.

Study materials:

Durbin,J.-Koopman, S.-J. (2001), TimeSeriesAnalysisby StateSpaceMethods, Oxford University Press.

Harvey,A.C. (1989): Forecasting, structuraltimeseriesmodels and Kalman filter.

Pinheiro,J.C.-Bates,D.M. (2000): Mixed-effectsmodels in S and S-plus. Springer. New York.

Pekár,S.-Brabec,M. (2016): Modern Analysis of Biological Data, I. Generalized

Note:
Time-table for winter semester 2022/2023:
Time-table is not available yet
Time-table for summer semester 2022/2023:
Time-table is not available yet
The course is a part of the following study plans:
Data valid to 2022-12-02
Aktualizace výše uvedených informací naleznete na adrese https://bilakniha.cvut.cz/en/predmet24075205.html