Original title: Neparametrické testování nelinearity v časových řadách
Translated title: Nonparametric Nonlinearity Testing in Time Series
Authors: Dudlák, Oliver ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
Document type: Bachelor's theses
Year: 2019
Language: slo
Abstract: [eng] [cze]
The aim of this bachelor thesis is nonparametric nonlinearity time series testing by using Q-tests and BDS-test. We describe theoretically each of the tests and then use them on simulated and real historical data. For tested time series we firstly try to identify linear model ARMA(p,q). Then we apply the tests on the estimated white noise to test the assumption of independence or noncorrelation and verify the accuracy of identified model. Práca je zameraná na neparametrické testovanie nelinearity časových radov a to pomocou Q-testov a BDS-testu. Popisuje teoretickú stránku jednotlivých testov a ich naslednú aplikáciu na nasimulovaných a reálnych dátach. Pre pozorovaný časový rad najprv identifikujeme lineárny model ARMA(p,q), kde potom pomocou spomínaných testov pre odhadnutý biely šum testujeme predpoklad nezávislosti resp. nekorelovanosti, čím overujeme správnosť zvoleného modelu.
Keywords: ARMA process; BDS test; nonparametric nonlinearity tests; Q-tests; ARMA proces; BDS test; neparametrické testy nelinearity; Q-testy

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/109073

Permalink: http://www.nusl.cz/ntk/nusl-405349


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses