Beáta Stehlíková
Katedra aplikovanej matematiky a štatistiky, M266
E-mail: stehlikova@pc2.iam.fmph.uniba.sk
Web: http://pc2.iam.fmph.uniba.sk/institute/stehlikova/
ECTS: 4 credits
Syllabus:
Lectures:
Topic | Slides |
Introduction | 1_intro.pdf |
AR processes | 2_ar.pdf |
MA processes | 3_ma.pdf |
ARMA processes | 4_arma.pdf |
Unit root | 5_unit_root.pdf |
Seasonal SARIMA models | 6_sarima.pdf |
GARCH models | 7_garch.pdf, garch_data.R |
GARCH models | 8_spectrum.pdf |
Exercises:
Topic | Slides |
White noise | see the lecture slides |
Nonlinear least squares, Bass model | ex02_bass.pdf |
AR processes - part 1 | ex03_ar.pdf, data: RSQ.txt, R20Q.txt |
AR processes - part 2 | ex04_ar.pdf |
Trend - part 1 | ex05_trend_1.pdf, data: motor.txt, wine.txt |
Trend - part 2 | ex06_trend_2.pdf |
ARIMA modelling exercises from past exams | arima-exam.pdf |
ARIMA modelling - review | arima-review.pdf |
SARIMA modelling - datasets from the lecture exercises | spain.txt, souvenirs.txt |
Spectrum | ex07_spectrum.pdf |
Modelling exercise | modelling_exercise.pdf, results: yen.png |
Homework:
Topic | PDF file | Deadline |
HW1: White noise, Bass model | hw1.pdf | 8th March 2016 |
HW2: AR(1) model for the GDP growth | hw2.pdf | 15th March 2016 |
HW3: Modelling trend | hw3.pdf | 5th April 2016 |
HW4: ARIMA models | hw4.pdf | 19th April 2016 |
HW5: ARMA and ARIMA models - theory | hw5.pdf | 26th April 2016 | HW6: SARIMA models | hw6.pdf | 3rd May 2016 |
References:
Grading: