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

Course guarantor:

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: