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STAT 557 | Course Introduction and Application Information
| Course Name |
Time Series Analysis
|
|
Code
|
Semester
|
Theory
(hour/week) |
Application/Lab
(hour/week) |
Local Credits
|
ECTS
|
|
STAT 557
|
Fall/Spring
|
3
|
0
|
3
|
7.5
|
| Prerequisites |
None
|
|||||
| Course Language |
English
|
|||||
| Course Type |
Elective
|
|||||
| Course Level |
Second Cycle
|
|||||
| Mode of Delivery | - | |||||
| Teaching Methods and Techniques of the Course | - | |||||
| National Occupation Classification | - | |||||
| Course Coordinator | - | |||||
| Course Lecturer(s) | ||||||
| Assistant(s) | - | |||||
| Course Objectives | This course aims to make the students familiar with the basics of Time Series Analysis and its applications. |
| Learning Outcomes |
The students who succeeded in this course;
|
| Course Description | Different tests on randomness are discussed. Difference Equations and Lag Operators are considered. Analysis of ARMA processes is done. Moment estimators and Maximum Likelihood Estimatords are investigated. Forecasting for linear and nonlinear models is applied. |
|
|
Core Courses | |
| Major Area Courses | ||
| Supportive Courses | ||
| Media and Management Skills Courses | ||
| Transferable Skill Courses |
WEEKLY SUBJECTS AND RELATED PREPARATION STUDIES
| Week | Subjects | Related Preparation | Learning Outcome |
| 1 | Introduction. Nonparametric tests on randomness | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages: 414:445. | |
| 2 | Difference equations and lag operators | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages: 1:35. | |
| 3 | MA processes | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages: 43:50. | |
| 4 | AR and ARMA processes | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages:53:62. | |
| 5 | Forecasting | “Time Series Analysis” by J.D.Hamilton, Princeton, NJ.“Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 | |
| 6 | Maximum likelihood estimators for ARMA processes | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages:117:132. | |
| 7 | Spectral analysis | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages:152:170. | |
| 8 | Midterm exam | ||
| 9 | Linear regression models | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages:200:220. | |
| 10 | Covariance stationary vector processes | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages:257:279. | |
| 11 | The Kalmam filter | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages:372:394. | |
| 12 | Method of moments | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages:409:424. | |
| 13 | Nonstationary time series | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages: 435:447. | |
| 14 | Heteroscedasticity | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 pages: 657:665. | |
| 15 | Semester review | ||
| 16 | Final exam |
| Course Notes/Textbooks | “Time Series Analysis” by J. D. Hamilton, Primceton, NJ,1994. ISBN-13: 978-0691042893 |
| Suggested Readings/Materials | ‘’New Introduction to Multiple Time Series Analysis” by H. Lutkepohl, Springer.2006. ISBN-13: 978-3540262398 |
EVALUATION SYSTEM
| Semester Activities | Number | Weigthing |
| Participation | ||
| Laboratory / Application | ||
| Field Work | ||
| Quizzes / Studio Critiques |
2
|
20
|
| Portfolio | ||
| Homework / Assignments |
1
|
10
|
| Presentation / Jury | ||
| Project | ||
| Seminar / Workshop | ||
| Oral Exams | ||
| Midterm |
1
|
25
|
| Final Exam |
1
|
45
|
| Total |
| Weighting of Semester Activities on the Final Grade |
4
|
55
|
| Weighting of End-of-Semester Activities on the Final Grade |
1
|
45
|
| Total |
ECTS / WORKLOAD TABLE
| Semester Activities | Number | Duration (Hours) | Workload |
|---|---|---|---|
| Theoretical Course Hours (Including exam week: 16 x total hours) |
16
|
3
|
48
|
| Laboratory / Application Hours (Including exam week: '.16.' x total hours) |
16
|
0
|
|
| Study Hours Out of Class |
14
|
7
|
98
|
| Field Work |
0
|
||
| Quizzes / Studio Critiques |
2
|
5
|
10
|
| Portfolio |
0
|
||
| Homework / Assignments |
1
|
9
|
9
|
| Presentation / Jury |
0
|
||
| Project |
0
|
||
| Seminar / Workshop |
0
|
||
| Oral Exam |
0
|
||
| Midterms |
1
|
20
|
20
|
| Final Exam |
1
|
40
|
40
|
| Total |
225
|
COURSE LEARNING OUTCOMES AND PROGRAM QUALIFICATIONS RELATIONSHIP
|
#
|
PC Sub | Program Competencies/Outcomes |
* Contribution Level
|
||||
|
1
|
2
|
3
|
4
|
5
|
|||
| 1 |
To have an appropriate knowledge of methodological and practical elements of the basic sciences and to be able to apply this knowledge in order to describe engineering-related problems in the context of industrial systems. |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
To be able to identify, formulate and solve Industrial Engineering-related problems by using state-of-the-art methods, techniques and equipment. |
-
|
-
|
-
|
-
|
-
|
|
| 3 |
To be able to use techniques and tools for analyzing and designing industrial systems with a commitment to quality. |
-
|
-
|
-
|
-
|
-
|
|
| 4 |
To be able to conduct basic research and write and publish articles in related conferences and journals. |
-
|
-
|
-
|
-
|
-
|
|
| 5 |
To be able to carry out tests to measure the performance of industrial systems, analyze and interpret the subsequent results. |
-
|
-
|
-
|
-
|
-
|
|
| 6 |
To be able to manage decision-making processes in industrial systems. |
-
|
-
|
-
|
-
|
-
|
|
| 7 |
To have an aptitude for life-long learning; to be aware of new and upcoming applications in the field and to be able to learn them whenever necessary. |
-
|
-
|
-
|
-
|
-
|
|
| 8 |
To have the scientific and ethical values within the society in the collection, interpretation, dissemination, containment and use of the necessary technologies related to Industrial Engineering. |
-
|
-
|
-
|
-
|
-
|
|
| 9 |
To be able to design and implement studies based on theory, experiments and modeling; to be able to analyze and resolve the complex problems that arise in this process; to be able to prepare an original thesis that comply with Industrial Engineering criteria. |
-
|
-
|
-
|
-
|
-
|
|
| 10 |
To be able to follow information about Industrial Engineering in a foreign language; to be able to present the process and the results of his/her studies in national and international venues systematically, clearly and in written or oral form. |
-
|
-
|
-
|
-
|
-
|
|
*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest
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