Course Title Course Code Program Level

Course Term
(Course Semester)
Teaching and Learning Methods
Theory Practice Lab Projects/Field Work Seminars/Workshops Other Total Credits ECTS Credits
28 14 40 83 165 3 6

Teaching Staff
Language of Instruction Türkçe (Turkish)
Type Of Course Compulsory
Prerequisites Probability, Mathematical Statistics
Recommended Optional Programme Component
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.
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.
Work Placement(s)
The Relationship between Program Qualifications (PQ) and Course Learning Outcomes (LO)