Logo ČVUT
CZECH TECHNICAL UNIVERSITY IN PRAGUE
STUDY PLANS
2024/2025

Advanced and Robust Regression Models

The course is not on the list Without time-table
Code Completion Credits Range Language
01PRR ZK 2 2P Czech
Garant předmětu:
Lecturer:
Tutor:
Supervisor:
Department of Mathematics
Synopsis:

1.Introduction to robust regression - M-estimates, qualitative and quantitative robustness, influential functions, outliers, leverage points.

2.The least median of squares, the trimmed least squares and the least trimmed squares.

3.Weighted least squares and least weighted squares, algorithms, applications.

4.Instrumental weighted variables and their robustification.

5.AR, MA, AR (I) MA, invertibility and stationarity condition. Smoothing of trend using curves, moving averages and exponential. Seasonal and cyclic components, tests of randomness, disturbance (Prais-Winsten, Cochrane-Orcutt).

6.Introduction to mixed linear models, estimation of parameters (ML, REML), generalized mixed linear models.

7.Repeated measurements, Longitudinal data, correlation structure in data.

8.Philosophical debate on mathematical modeling and regression analysis.

Requirements:
Syllabus of lectures:
Syllabus of tutorials:
Study Objective:
Study materials:

Key references:

[1] Víšek, J. Á., Estimating the Model with Fixed and Random Effects by a Robust Method, Methodology and Computing in Applied Probability 17, 2015

[2] Víšek, J. Á., Representation of the least weighted squares, Advances and Applications in Statistics 47, 2015

Recommended references:

[3] Hardle, W., Applied Nonparametric Regression (1990), ISBN 0-521-42950-1

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 2024-05-27
Aktualizace výše uvedených informací naleznete na adrese https://bilakniha.cvut.cz/en/predmet6346406.html