Original title: Testy významnosti parametrů ARMA modelů založené na bayesovském přístupu
Translated title: Tests of significance of ARMA models parameters based on Bayesian approach
Authors: Onderko, Martin ; Krtek, Jiří (advisor) ; Prášková, Zuzana (referee)
Document type: Bachelor's theses
Year: 2012
Language: slo
Abstract: [eng] [cze]
This thesis is focused on Bayesian analysis and its use in probability and statistics. It also marginally discusses random processes, furtherly describes ARMA model and defines the issue of estimation of the parameters of Bayesian approach. Acquired knowledge and derived characteristics subsequently applies in testing of significance of parameters. Thus it undoubtably affects the area of hypothesis testing and serves mainly as a tool to determine the ARMA model more accurately. This work should be regulary applied when detecting the necessity of testing of statistical significance of parameters of ARMA model. Táto bakalárska práca sa zameriava na bayesovskú analýzu a na jej využitie v oblasti pravdepodobnosti a štatistiky. Okrajovo sa dotýka náhodných procesov, bližšie charakterizuje model ARMA a venuje sa problematike odhadov jeho parametrov bayesovským prístupom. Získané vedomosti a odvodené charakteristiky následne uplatňuje v testoch významnosti parametrov. Nepochybne sa tak dotýka oblasti testovania hypotéz a slúži hlavne ako nástroj k presnejšiemu určeniu modelu ARMA. Táto práca by sa mala uplatniť všade tam, kde je charakterizovanie štatistickej významnosti parametrov modelu ARMA nevyhnutnosťou.
Keywords: ARMA model; Bayesian analysis; estimates of the parameters; tests of significance of parameters; bayesovská analýza; model ARMA; odhady parametrov; testy významnosti parametrov

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/45962

Permalink: http://www.nusl.cz/ntk/nusl-310251


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