| Teaching Staff
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|
| Language of Instruction |
Türkçe (Turkish) |
| Type Of Course |
Compulsory |
| Prerequisites |
Probability, Mathematical Statistics |
| Recommended Optional Programme Component |
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| Course Objectives |
Examining the theoretical models of time series, analyzing, modelling and using time series |
| Course Content |
Time series as a stochastic process. Means, covariances, correlations, stationary. Moving averages and smoothing. Stationary and non-stationary parametric models. Model specification. Estimation and testing. Seasonality. Some forecasting procedures. |
| Learning Outcomes (LO) |
Providing the student the ability to analyze model and use a time sequence. |
| Mode of Delivery |
Face to face |
| Course Outline |
| Week |
Topics |
| 1. Week |
Basic definitions and concepts: stochastic process |
| 2. Week |
Definition of stationary and non-stationary processes |
| 3. Week |
The mean variance, and estimates of autocovariance and autocorrelation functions |
| 4. Week |
The mean variance, and estimates of autocovariance and autocorrelation functions |
| 5. Week |
Analysis of time series models with difference equations |
| 6. Week |
Linear stationary processes: first-order autoregressive models: AR (1) |
| 7. Week |
AR (2) Model and features. The moving average models |
| 8. Week |
First and second order moving average models. |
| 9. Week |
Atoregresif-moving average models: ARMA (p, q) |
| 10. Week |
Models with non-stationary stochastic trend. Unit root test of difference stationary processes, |
| 11. Week |
Difference taking and stationarity procedures |
| 12. Week |
The establishment of Non-stationary ARIMA (p, d, q) models. Lab applications |
| 13. Week |
Stochastic seasonal stationary processes. SARMA(P,Q)s models |
| 14. Week |
Review and problem solving. |
|
| Assessment |
| |
Percentage(%) |
| Mid-term (%) |
40 |
| Quizes (%) |
|
| Homeworks/Term papers (%) |
5 |
| Practice (%) |
|
| Labs (%) |
5 |
| Projects/Field Work (%) |
|
| Seminars/Workshops (%) |
|
| Final (%) |
50 |
| Other (%) |
|
| Total(%) |
100 |
|
| Course Book (s) and/or References |
1. Wei, W.W.S. (1990) Time Series Analysis. Addison-Wesley.
2. Akdi, Y. (2010) Zaman Serileri Analizi.Gazi Kitabevi
3. Tsay, Ruey,S.,(2005) Analysis of Financial Time Series, Wiley.
4. Chatfield, C.. (1996) The Analysis of Time Series :An Introduction.
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| Work Placement(s) |
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| The Relationship between Program Qualifications (PQ) and Course Learning Outcomes (LO) |
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