2011 YÜksek lisans tez özetleri

Stochastic Models For System Engineers

Seasonality can be defined as the periodically repetitive behaviours that are included within a time series in a year. The effect of seasonality according to macroeconomic datas prevents the precise observation of real time economical behaviours. Thus, seasonality which is one of the fundemental constituents of macroeconomics is supposed to be considered apart from data in purpose of data's significance and usability.

In this labor, a filter has been designed to abolish the impact of seasonality on time series. Consumption expenditures which are extremely important component of macroeconomics was chosen as the concerned variable. It was aimed to comprehend what is the seasonal correction and thus, seasonality was examined within the framework of its effects and correction methods. Moreover within the content of this study AR(p), MA(q), ARMA(p,q) and ARIMA(p,d,q) models were mentioned. To abolish seasonality, digital filter was used. Therefore, during examination steps, IIR and FIR filters are particularly mentioned. In addition to this consideration, IIR filter is detailly explained by aid of MATLAB.

For performance measurement of the developed method, both consumption expenditures and filtered consumption expenditures had been analyzed according to frequency and time domains. The common methods which are oftenly used in markets and obtained results which were successfully abolished from seasonality effects by designed filter were particularly compared. The comparison had been performed according to a highly preferred method  called TRAMO/SEATS and X-12 ARIMA. With improved this method the data of consumption expenditures is filtered from seasonality effect and the results are analyzed by seasonality testing with EVIEWS program.

ERDEMİR Cavit

Danışman : Prof. Dr. Aydın AKAN

Anabilim Dalı : Elektrik-Elektronik Mühendisliği

Mezuniyet Yılı : 2011

Tez Savunma Jürisi : Prof. Dr. Aydın AKAN

Prof. Dr. Hakan Ali ÇIRPAN Prof. Dr. Osman Nuri UÇAN

Yrd. Doç. Dr. Niyazi KILIÇ

Yrd. Doç. Dr. Yalçın ÇEKİÇ