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:
Probably the most comprehensive. With information about many of the model types you've listed:
Definitive resource on exponential smoothing: