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.
2 Comments
I also like "Nonlinear Time Series Analysis" by Kantz & Schreiber.
Thanks for sharing informative and helpful post.