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STUDY PLANS
2023/2024
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Mathematical Statistics II - Time Series Analysis

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Code Completion Credits Range Language
D01MSA2_EN ZK 2P English
Garant předmětu:
Daniela Jarušková
Lecturer:
Daniela Jarušková
Tutor:
Supervisor:
Department of Mathematics
Synopsis:

Notion of time series. Stationary time series. Basic characteristics and their estimates. ARMA models. Frequency analysis of time series. Markovian sequences with finite number of states. Stationary distribution and method MCMC. Idea of MCMC for a continuous set of states.

Requirements:
Syllabus of lectures:

1.Notion of time series.

2. Stationary time series.

3. Basic characteristics and their estimates.

4. ARMA models. Frequency analysis of time series.

5.Markovian sequences with finite number of states.

6. Stationary distribution and method MCMC.

7. Idea of MCMC for a continuous set of states.

8. Aplication of MCMC method in Bayesian estimation.

Syllabus of tutorials:
Study Objective:

To get a knowledge how to model dependent variables. Knowledge methods for Baesian estimates.

Study materials:
Note:
Time-table for winter semester 2023/2024:
Time-table is not available yet
Time-table for summer semester 2023/2024:
Time-table is not available yet
The course is a part of the following study plans:
Data valid to 2024-05-22
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