Course Information

Course Name	Turkish	Zaman Serileri Analizi
	English	Time Series Analysis
Course Code	MAT 343E	Credit	Lecture (hour/week)	Recitation (hour/week)	Laboratory (hour/week)
Semester	5	3	3	-	-
Course Language		English
Course Coordinator		Eti Mizrahi
Course Objectives		The knowledge of modeling, prediction and forecasting the deterministic and sthocastic part of a time series. Applications of time series using MATLAB. Data collecting, data cleaning, modeling, forecasting and prediction. Power point presentation of the given projects.
Course Description		Basic subjects related to modeling: metric, norm, inner product; Taylor series, Fourier series; modeling, "least square estimation", eror computations. Modeling and prediction of derterministic variations. Trend analysis, polynomial approximation, investigation of periodic variations, modeling and prediction difficulties, Forecast and error modeling.Modeling of the error as a sthocastic variable. Forecasting using ARMA and GARCH models.
Course Outcomes		Students completing this course will be able to : I. Sketch and comment the graph of a time series in Matlab or Eviews, II. Transform the data in a suitable form for modeling, (Filling the missing data, determine the outliers and correct them) III. Maket he spectral analysis of the data, IV. Make the deterministic model of the data, V. Test the stationarity of the data using unit root test, VI. Model the data using AR, MA, ARMA, ARIMA, GARCH and EGARCH models, VII. Forecast the data using these models.
Pre-requisite(s)
Required Facilities
Other
Textbook		1) The Analysis of Time Series An Introduction (Sixth Edition), Chris Chatfield, Chapman and Hall/CRC, (Textbook) 2004,New York. 2) Time Series Analysis and Its Applications With R Examles, Robert H.Shumway, David S.Stoffer 3)Introduction to Time Series and Forecasting, Peter J.Brockwell, Richard A. Davis
Other References		1) Time Series Analysis, Hamilton, James Douglas, 2009 2) A course in Time Series Analysis, Daniel Pena et al.,2002 (Other References) 3) Analyisis of Financial Time Series, R.S.Tsay, Wiley, 2nd Edition,2005

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