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Výstavba lineárnych stochastických modelov časových radov triedy SARIMA – automatizovaný postup / Construction of Linear Stochastic Models of SARIMA Class Time Lines – Automatized Method

This work concerns the creation of automatized procedure of ARIMA and SARIMA class model choice according to Box-Jenkins methodology and in this connection, also deals with force testing of unit roots and analysis of applying of informatics criteria when choosing a model. The goal of this work is to create an application in the environment R that can automatically choose a model of time array generating process. The procedure is verified by a simulation study. In this work an effect of values of generating ARMA (1,1) model processes parameters is examined, for his choice and power of KPSS test, augmented Dickey-Fuller and Phillips-Peron test of unit roots.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:193057
Date January 2015
CreatorsTrcka, Peter
ContributorsArlt, Josef, Hindls, Richard
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageSlovak
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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