The course seeks to acquaint students with the main concepts of modern time series theory universally applicable in describing the passage of natural and socioeconomic phenomena. Students will master methods of forecasting and analysis of time series based on the Box-Jenkins methodology of ARMA (p,d,q) models. They will understand difficulties associated with non-stationarity, and will learn methods how to tackle its presence. Finally, students will learn the pitfalls of running regressions with non-stationary time series. The course emphasises building of practical skill when working with real-world data in program R.
- Učitel: Martin Boďa