Solved – Good references for time series

arimamachine learningself-studytime series

I am wondering if anyone has book references for time series. I would like something comparable (in popularity) to the 'ESL' or to 'Machine learning' from Murphy in the machine learning field.

Does anyone knows what are the most complete (in term of methods scope) books containing all about exponential smoothing (all of them), arima, sarima , arch, garch, neural network for time series, kalman filters, … etc ?

Best Answer

I don't know of a single time series book that is as comprehensive as Elements of Statistical Learning. However, here's a list of a few books that i've found helpful:

Free online. More of a forecasting focus, but definitely a good starting point. The slides under resources are also helpful:

  • Hyndman, R. J., & Athanasopoulos, G. (2013). Forecasting: principles and practice. Retrieved from http://otexts.org/fpp/

Probably the most comprehensive. With information about many of the model types you've listed:

  • Shumway, R. H., & Stoffer, D. S. (2010). Time Series Analysis and Its Applications. Springer.

Definitive resource on exponential smoothing:

  • Hyndman, R., Koehler, A. B., Ord, J. K., & Snyder, R. D. (2008). Forecasting with Exponential Smoothing. Springer.
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