The aim is to provide specific technique for handling data and at the same time to provide an understanding of the mathematical basis for the techniques.
Time series constitute an important class of stochastic processes.
For example, economic behavior is quantified in some time series such as the consumer price index, unemployment, gross national product and the daily price of a certain stock. Also it is believed that share prices, exchange rates, interest rat es, etc., can be modelled by solution of stochastic differential equations which are driven by Brownian motion. In this course we will discuss both techniques. Some important models such as the random walk model will be investigated carefully. We will try to avoid the mathematical prerequisites beyond the third year level.