20.500.12556/RUL-179141 Multivariatne časovne vrste in kointegracija magistrsko delo Multivariate time series and cointegration Analiza časovnih vrst zaradi svoje velike uporabnosti velja za eno izmed pomembnejših področij statistike. Magistrsko delo zajema predstavitev multivariatnih časovnih vrst in vektorskih modelov časovnih vrst, s katerimi jih lahko opišemo. Natančneje obravnavamo vektorske avtoregresijske modele drsečih sredin, metode njihove identifikacije in napovedovanje prihodnjih vrednosti. Posvetimo se tudi predstavitvi koncepta kointegracije. Pri tem obravnavamo vektorski model korekcij napak, različne metode testiranja in načine ocenjevanja kointegracijskih vektorjev. Lotimo se tudi empiričnega modeliranja multivariatnih časovnih vrst v programskem jeziku R. Med seboj primerjamo napovedi modelov z upoštevanjem in brez upoštevanja prisotne kointegracije. Due to its great usefulness, time series analysis is regarded as one of the most important fields in statistics. This Master's thesis focuses on multivariate time series and the vector time series models they follow. A more detailed examination of vector autoregressive moving average models is provided, including methods for their identification and use in forecasting. Furthermore, the concept of cointegration is introduced. In this context, the vector error correction model is presented, along with various testing procedures and approaches to estimating cointegrating vectors. The thesis also includes empirical modeling of multivariate time series using the R programming language. Finally, a comparative analysis of forecasts from a model that accounts for cointegration and a model that does not is conducted. kointegracija multivariatne časovne vrste vektorski avtoregresijski modeli drsečih sredin (VARMA) vektorski modeli korekcij napak (VECM) cointegration multivariate time series vector autoregressive moving average models (VARMA) vector error correction models (VECM) true false false Slovenski jezik Angleški jezik Magistrsko delo/naloga 2026-02-06 08:15:05 2026-02-06 08:15:08 2026-02-12 04:35:33 0000-00-00 00:00:00 2026 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 159282 265952003 21142.pdf 21142.pdf 1 EF948EF1957CDBD25A89CA2FFBD7841C 4c91ca3daeac8a8d76fddc53b9f386465253270b3bb6adcdc000bea7b5c3f45a 76ad78be-032b-11f1-a1ba-0050569b8976 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=227354 Fakulteta za matematiko in fiziko 0 0 0