|
|
Time Series Analysis and Comparison by Means of Statistical Methods
Kopecký, Radek ; Bednář, Josef (referee) ; Žák, Libor (advisor)
The aim of the thesis mainly is to understand an issue of time series analysis. There are many methods in time series analysis, but purpose of this analysis persists the same, which is a construction of sufficient model of time series and his application in forecasting of time series. We have to make a basic identification of time series to establish right process in model constructing. The first and the second chapter is devoted to this basic identification. There are many methods, how we said before, for constructing of concrete model. In this thesis, exactly in the third chapter, we introduce one of the most flexible methodology of model constructing. That is The Box-Jenkins methodology, which was defined in 1976 by these men. In the last chapter we try to put to use insight in the issue of time series analysis for comparison and separation of the space of time series and this comparison use for the right interpretation of the parameters of time series model. The diploma project was supported by project from MSMT of the Czech Republic no. 1M06047 "Centre for Quality and Reliability of Production".
|
|
|
Analysis of Financial Time Series During a Crisis
PRŮDEK, Lukáš
In this thesis, we will analyze financial time series during and before the crisis. These series will be analyzed using the Box-Jenkins methodology. The aim is to understand this method and then apply it to the prices of the DAX and PX stock indices. The DAX stock index values were compiled by the Frankfurt Stock Exchange and the PX index values were compiled by the Prague Stock Exchange. I will attempt to build models that can reliably describe the series in question for subsequent forecasting over sub-periods. These models and the predictions made from them will then be used to compare changes in time series behaviour.
|
|
|
Influence of errors to regression model
Poliačková, Vlasta ; Lachout, Petr (advisor) ; Hlávka, Zdeněk (referee)
Title: Influence of errors to regression model Author: Bc. Vlasta Poliačková Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Petr Lachout, CSc. Supervisor's e-mail address: Petr.Lachout@mff.cuni.cz Abstract: The submitted work deals with the regression model, and the influence of errors to regression. Thesis describes different types of violations of assumptions re- quired to the error term and their impact to the properties of the regression model. In the next part, there are discussed various statistical approaches applicable in the case of violation assumptions of regression model such as heteroscedasticity or autocor- relation of the residuals. In the application part, there is used mainly knowledge of Box - Jenkins methodology. In this section it is described in detail how to build a Box - Jenkins models and forecasts of future values for various real financial time series. In processing of the data are used models of ARMA, ARIMA and SARIMA. In an example, forecasts of the models are compared to real future values of the time series. Keywords: regression, violation of assumptions, error term, Box-Jenkins methodo- logy, time series
|
|
|
Analysis of Selected Climatological Time Series
Kraitz, Petr ; Helman, Karel (advisor) ; Šimpach, Ondřej (referee)
Dissertation is focused on analysis of time series of monthly mean temperatures of seven meteorological stations between years 1960 to 2015. With the use of selected statistical methods time series are modelled in moving ten year long intervals and a forecast of elevenths year is constructed. The goal of this dissertation is to compare the success of different methods/models predictions of values for one year period, based on the data from last 10 years.
|
|
|
Time series annalyze by neural networks models
Jiráň, Robin ; Arltová, Markéta (advisor) ; Žižka, David (referee)
This thesis deals about using models of neural networks like alternative of time series model based on Box-Jenkins methodology. The work is divided into two parts according to the model construction method. Each of the parts contains a theory that explains the individual processes and the progress of the model construction. This is followed by two experiments demonstrating the difference in approach to the design of a given model and creating a forecast by estimated values. for the following year. The last part expertly evaluates the quality of the predictions and considers the use of neural networks against prediction models as an alternative to Box-Jenkins methodology based models
|
|
|
Influence of errors to regression model
Poliačková, Vlasta ; Lachout, Petr (advisor) ; Hlávka, Zdeněk (referee)
Title: Influence of errors to regression model Author: Bc. Vlasta Poliačková Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Petr Lachout, CSc. Supervisor's e-mail address: Petr.Lachout@mff.cuni.cz Abstract: The submitted work deals with the regression model, and the influence of errors to regression. Thesis describes different types of violations of assumptions re- quired to the error term and their impact to the properties of the regression model. In the next part, there are discussed various statistical approaches applicable in the case of violation assumptions of regression model such as heteroscedasticity or autocor- relation of the residuals. In the application part, there is used mainly knowledge of Box - Jenkins methodology. In this section it is described in detail how to build a Box - Jenkins models and forecasts of future values for various real financial time series. In processing of the data are used models of ARMA, ARIMA and SARIMA. In an example, forecasts of the models are compared to real future values of the time series. Keywords: regression, violation of assumptions, error term, Box-Jenkins methodo- logy, time series
|
|
|
Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research
Koza, Oldřich ; Teplý, Petr (advisor) ; Krištoufek, Ladislav (referee)
This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.
|
|
|
Time Series Analysis and Comparison by Means of Statistical Methods
Kopecký, Radek ; Bednář, Josef (referee) ; Žák, Libor (advisor)
The aim of the thesis mainly is to understand an issue of time series analysis. There are many methods in time series analysis, but purpose of this analysis persists the same, which is a construction of sufficient model of time series and his application in forecasting of time series. We have to make a basic identification of time series to establish right process in model constructing. The first and the second chapter is devoted to this basic identification. There are many methods, how we said before, for constructing of concrete model. In this thesis, exactly in the third chapter, we introduce one of the most flexible methodology of model constructing. That is The Box-Jenkins methodology, which was defined in 1976 by these men. In the last chapter we try to put to use insight in the issue of time series analysis for comparison and separation of the space of time series and this comparison use for the right interpretation of the parameters of time series model. The diploma project was supported by project from MSMT of the Czech Republic no. 1M06047 "Centre for Quality and Reliability of Production".
|
|
|
Analysis of marriage rate, divorce rate and live births outside marriage
Birčáková, Barbora ; Arltová, Markéta (advisor) ; Löster, Tomáš (referee)
The main goal of the thesis is to analyze the basic indicators of marriage rate, divorce rate and the proportion of live births outside marriage. The first part is focused on the evaluation of the past and present development of the selected indicators. The thesis also includes a prediction of the future development of these indicators by using the Box-Jenkins methodology. The last part is dedicated to an international comparison of marriage, divorce and non-marital fertility indicators in the selected countries of the European Union. Moreover, the last part also includes a cluster analysis, where countries are divided into homogeneous groups according to the selected indicators.
|
|
|
Statistical methods in demographic forecasting
Šimpach, Ondřej ; Langhamrová, Jitka (advisor) ; Arltová, Markéta (referee) ; Palát, Milan (referee)
Dissertation thesis creates a complex and modern scheme for stochastic modeling of demographic processes, which is universally applicable to any population in the world. All calculations are described in detail on the data of the Czech Republic. Throughout the work the attention is drawn to the issues, that every analyst must necessarily take into account in order to obtain correct results. Data comes mostly from the Czech Statistical Office database. However, some data matrices had to be calculated for the purposes of the thesis. Particular demographic processes (mortality, fertility and migration) are modeled using selected modern approaches (ARIMA models, Lee-Carter method) and based on the constructed models these processes are forecasted to the future. Using partially projected results a comprehensive demographic projection of the population of the Czech Republic is created up to the year 2050. However, not on the basis of the current state and expert expectations of the future development, but based on sophistically projected demographic events, which are explained using the trends and main components of their previous development. This demographic projection is created in three scenarios (marked SC1, SC2 and SC3), which are made from selected optimal models, presented in particular sections of the work. One part of the thesis is also the backward retropolation of age-specific number of net migrants by sex in the Czech Republic since 1948. On its basis the analysis and prediction of the migration can be done. The thesis is a synthesis of the projections of demographic processess of mortality, fertility, and migration. Final results are confronted with three scenarios of population projections of the Czech Republic created by the Czech Statistical Office and five scenarios of population projections by Eurostat. The purely statistical approach of demographic forecasting in comparison with deterministic models and expert expectations has its positives and negatives. Therefore, the different results due to various methodological approaches are discussed and compared in the conclusion of the thesis.
|
guest ::
