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CZECH TECHNICAL UNIVERSITY IN PRAGUE
STUDY PLANS
2024/2025

Mathematical Statistics II - Time Series Analysis

The course is not on the list Without time-table
Code Completion Credits Range Language
D01MSA2_EN ZK 2P English
Garant předmětu:
Lecturer:
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:
Further information:
No time-table has been prepared for this course
The course is a part of the following study plans:
Data valid to 2024-03-28
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