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

Whether your interest in time series data is for analysis, forecasting, mining, statistical process control, data quality, I hope you find this list useful.

tags: analytics, anne milley, forecasting


  1. Patrick Spedding
    Posted June 10, 2010 at 7:24 am | Permalink

    I also like "Nonlinear Time Series Analysis" by Kantz & Schreiber.

  2. Data mining
    Posted September 16, 2010 at 5:03 am | Permalink

    Thanks for sharing informative and helpful post.

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