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Tests of significance of ARMA models parameters based on Bayesian approach
Onderko, Martin ; Krtek, Jiří (advisor) ; Prášková, Zuzana (referee)
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.
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Daylight Saving Time and Stock Market Returns: Evidence from the Visegrad Group
Kúdeľa, Peter ; Havránková, Zuzana (advisor) ; Novák, Jiří (referee)
Do investors make bad decisions following the clock change? If so, there would be traces of such anomaly in market data. In this thesis, we investigate these traces focusing on the stock markets of the Visegrad Group, known to be pre- vailingly illiquid. We combine the most recent financial data with the ARIMA- GARCH framework while employing brand-new Bayesian techniques. Using several robustness checks, we show that such e ect cannot be traced in these markets. While we do not claim to challenge the seminal works in this field, we do support the evidence that the e ects of daylight saving policy do not pertain to less liquid markets. JEL Classification C11, G12, G14, G41 Keywords daylight saving time, market anomaly, Visegrad Group, Bayesian analysis Title Daylight Saving Time and Stock Market Re- turns: Evidence from the Visegrad Group
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System Priors for Econometric Time Series
Andrle, Michal ; Plašil, Miroslav
This paper introduces “system priors” into Bayesian analysis of econometric time series and provides a simple and illustrative application. Unlike priors on individual parameters, system priors offer a simple and efficient way of formulating well-defined and economically meaningful priors about model properties that determine the overall behavior of the model. The generality of system priors is illustrated using an AR(2) process with a prior that its dynamics comes mostly from business-cycle frequencies.
Fulltext:  PDF
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Tests of significance of ARMA models parameters based on Bayesian approach
Onderko, Martin ; Krtek, Jiří (advisor) ; Prášková, Zuzana (referee)
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.
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Základní fylogenetické metody
Vallo, Peter
This volume comprises contributions of a team of lecturers, who held their speeches at a course for undergraduate students on computational biology. The particular topic of phylogenetic methods is briefly introduced, covering basics of DNA sequence evolution and tree nomenclature. Methods of tree reconstructions are further explained; both general tree searching algorithms and particular reconstruction methods i.e. distance, parsimony, likelihood and Bayesian approaches.
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