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Recommended Reading For Time Series Analysis

This document provides a list of recommended books for time series analysis at different skill levels, from introductory to advanced theoretical books. It includes titles such as Forecasting: Methods and Applications 3RD by Makridakis et al. for MBAs and practitioners, Time Series Analysis by State Space Models by Durbin and Koopman for a master's in statistics, and Introduction to Statistical Time Series 2nd ed by Fuller for a more theoretical PhD-level approach. The document also mentions two additional relevant books: SAS for Forecasting Time Series by Brocklebank and Dickey, and an upcoming book by Mike Gilliland called The Business Forecasting Deal.

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307 views

Recommended Reading For Time Series Analysis

This document provides a list of recommended books for time series analysis at different skill levels, from introductory to advanced theoretical books. It includes titles such as Forecasting: Methods and Applications 3RD by Makridakis et al. for MBAs and practitioners, Time Series Analysis by State Space Models by Durbin and Koopman for a master's in statistics, and Introduction to Statistical Time Series 2nd ed by Fuller for a more theoretical PhD-level approach. The document also mentions two additional relevant books: SAS for Forecasting Time Series by Brocklebank and Dickey, and an upcoming book by Mike Gilliland called The Business Forecasting Deal.

Uploaded by

Skt Forex Trader
Copyright
© Attribution Non-Commercial (BY-NC)
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Download as DOCX, PDF, TXT or read online on Scribd
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Recommended reading for time series analysis

As more organizations are realizing greater value tapping into their time series data in new and innovative
ways, we are often asked about books we would recommend on time series analysis.  I have consulted
with some internal experts and wanted to post this list of recommended books on the topic since we also
get this request from people with different skill levels. 
 
In addition to the list below, you might also consider  SAS for Forecasting Time Series by Brocklebank and
Dickey, SAS Institute, 2003.  Finally, a colleague, Mike Gilliland has a book coming out next month, The
Business Forecasting Deal. His book has some great examples and wisdom from practical experience. 
For the MBA-Practitioner 
Forecasting: Methods and Applications 3RD
Spyros G. Makridakis Steven C. Wheelwright Rob J. Hyndman

Time-Series Forecasting 
Christopher Chatfield

Forecasting and Time Series: An Applied Approach 


Bruce Bowerman Richard T. O'Connell

For the Master's in Statistics 


Time Series Analysis: Forecasting and Control 3rd ed
George Edward Pelham Box Gwilym M. Jenkins Gregory C. Reinsel

A Course in Time Series Analysis 


Daniel Pena George C. Tiao Ruey S. Tsay

Introduction to Time Series and Forecasting 2ND BK&CDR


Peter J. Brockwell Richard A. Davis

Time Series Analysis and Its Applications 


Robert H. Shumway David S. Stoffer I. Olkin (Editor) G. Casella (Editor) S. Fienberg (Editor)

Time Series Analysis by State Space Models 


James Durbin S. J. Koopman

For the More Theoretical PhD 


Introduction to Statistical Time Series 2nd ed
Wayne A. Fuller

Elements of Multivariate Time Series Analysis 


Gregory C. Reinsel Gragory Reinsel

Forecasting, Structural Time Series Models, and the Kalman Filter 


Andrew C. Harvey A. C. Harvey

Introduction to Multiple Time Series Analysis 2nd ed


Helmut Lutkepohl

Forecasting Economic Time Series 2ND


C.W.J. W. Granger Paul Newhold

Time Series Analysis 


James D. Hamilton

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