Original title: Vybrané aplikace rekurentní metody nejmenších čtverců
Translated title: Recursive least squares method: Selected applications
Authors: Mičuda, Timotej ; Hendrych, Radek (advisor) ; Hudecová, Šárka (referee)
Document type: Bachelor's theses
Year: 2023
Language: slo
Abstract: [eng] [cze]
This bachelor's thesis introduces, derives and implements recursive least squares me- thod. The recursive least squares method is analogy to ordinary least squares for linear regression exercise. Method uses recursive procedure to update coefficients. The goal of this work is to introduce the recursive method algorithm and to become familiar with its benefits. We will use the method for three different simulations, where we show selected properties and modifications. Also we apply the method for estimation of real data in connection with CAPM model. 1 Táto bakalárska práca obsahuje predstavenie, odvodenie a implementáciu rekurentnej metódy najmenších štvorcov. Metóda je analógiou klasickej metódy najmenších štvorcov pre lineárnu regresnú úlohu, pričom používa rekurzívny postup na aktualizáciu koeficien- tov. Cieľom tejto práce je predstavenie algoritmu rekurentnej metódy a oboznámenie sa s jej výhodami. Metódu využijeme na tri rôzne simulácie, v ktorých ukážeme jej vlast- nosti a modifikácie. Taktiež metódu aplikujeme na odhady pri použití na reálne dáta v spojitosti s CAPM modelom. 1
Keywords: CAPM model|forgetting factor|least squares method|recursive least squares method; CAPM model|forgetting faktor|metóda najmenších štvorcov|rekurentná metóda najmenších štvorcov

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/184515

Permalink: http://www.nusl.cz/ntk/nusl-534624


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