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.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:193057 |
| Date | January 2015 |
| Creators | Trcka, Peter |
| Contributors | Arlt, Josef, Hindls, Richard |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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