Time Series Books¶

Beginner-Friendly¶

1. Forecasting: Principles and Practice (3^rd Edition) Rob J Hyndman & George Athanasopoulos Online Book Free online textbook with R examples. Excellent introduction to forecasting methods.

2. Practical Time Series Analysis by Aileen Nielsen O'Reilly Hands-on approach with Python examples. Covers modern ML methods.

Advanced¶

1. Time Series Analysis By James D. Hamilton: Classic econometric approach. Deep mathematical treatment.
2. Introduction to Time Series and Forecasting (3^rd Edition) Peter J. Brockwell & Richard A. Davis Rigorous statistical approach with R.
3. Forecasting with Dynamic Regression Models Alan Pankratz Transfer functions and intervention analysis.