Original title: Testy linearity v časových řadách
Translated title: Tests for time series linearity
Authors: Melicherčík, Martin ; Prášková, Zuzana (advisor) ; Hendrych, Radek (referee)
Document type: Master’s theses
Year: 2013
Language: slo
Abstract: [eng] [cze]
Title: Testing for linearity in time series Author: Martin Melicherčík Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Zuzana Prášková, CSc., Department of Probability and Mathematical Statistics Abstract: In the first part of the thesis, a necessary theoretical base from time series analysis is explained, which is consequently used to formulate several tests for linearity. According to variety of approaches the theory includes wide range of knowledge from correlation and spectral analysis and introduces some basic nonlinear models. In the second part, linearity tests are described, classified and compared both theoretically and practically on simulated data from several linear and nonlinear models. At the end, some scripts and hints in R language are introduced that could be used when applying tests to real data. Keywords: linear time series, bispectrum, testing for linearity, nonlinear models Název práce: Testy linearity v časových řadách Autor: Martin Melicherčík Katedra: Katedra pravděpodobnosti a matematické statistiky Vedoucí diplomové práce: doc. RNDr. Zuzana Prášková, CSc., Katedra pravděpo- dobnosti a matematické statistiky Abstrakt: Práca v začiatku podáva potrebné teoretické základy z oblasti časových radov, ktoré sú potom využité na zostavenie viacerých testov linearity. Vzhl'adom na rôznorodost' prístupov, teória zasahuje pomerne široko do korelačnej aj spek- trálnej analýzy a uvádza niektoré základné nelineárne modely. Testy sú v druhej časti popísané, utriedené a porovnané teoreticky aj prakticky na simulovaných dátach z viacerých lineárnych a nelineárnych modelov. V závere sú spomenuté užitočné rady z aplikácie testov na dáta v jazyku R. Klíčová slova: lineárne časové rady, bispektrum, testovanie linearity, nelineárne modely
Keywords: bispectrum; linear time series; nonlinear models; testing for linearity; bispektrum; lineárne časové rady; nelineárne modely; testovanie linearity

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/52126

Permalink: http://www.nusl.cz/ntk/nusl-488060


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses