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Terminated in academic year 2021/2022

Time Series Analysis

Type of study Bachelor
Language of instruction Czech
Code 151-0350/03
Abbreviation AČŘ
Course title Time Series Analysis
Credits 5
Coordinating department Department of Mathematical Methods in Economics
Course coordinator doc. Ing. Petr Seďa, Ph.D.

Subject syllabus

- Basic concepts and properties of time series.
- Measures the dynamics of economic time series.
- Transformation of time series, replacing missing values​​, remote and extreme values.
- The classical model of economic time series (trend, cycle, seasonality).
- The trend models.
- Basic models of seasonal ingredients and seasonal adjustment methods.
- Analysis of the residual component and the Durbin-Watson test of autocorrelation.
- Principles of forecasts and predictions of success criteria.
- Introduction to Box-Jenkins methodology of modeling economic time series.

E-learning

http://lms.vsb.cz/

Literature

BOX, George, JENKINS, Gwilym and REINSE, Gregory. Time Series Analysis: Forecasting and Control. Springer; 4th edition, 2008. ISBN 978-0470272848 .

BROCKWELL,Petr and DAVIS, Richard. Time Series: Theory and Methods. Springer; 2nd edition, 2009. ISBN 978-1441903198 .

CHATFIELD,Chris. The Analysis of Time Series: An Introduction. Chapman & Hall; 6th edition, 2003. ISBN 978-1584883173 .

KIRCHGÄSSNER, Gebhard, Jürgen WOLTERS a Uwe HASSLER. Introduction to modern time series analysis. 2nd ed. Berlin: Springer, 2013. Springer texts in business and economics. ISBN 978-3-642-33435-1 .

Advised literature

BISGGARD, Soren. – KULAHCI, Murat. Time Series Analysis and Forecasting by Example. Wiley; 1st edition, 2011. ISBN 978-0-470-54064-0 .

SHOWMAN, Robert H. – STOFFER, David S. Time Series Analysis and Its Applications: With R Examples. Springer; 3rd edition, 2011. ISBN 978-1441978646 .

WOODWARD, Wayne A., Henry L. GRAY a Alan C. ELLIOTT. Applied time series analysis. Boca Raton: CRC Press, Taylor& Francis group, 2012. Statistics: textbooks and monographs. ISBN 978-1-4398-1837-4 .


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