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Important Time Series Papers

Classical Methods

  1. Box & Jenkins (1970): "Time Series Analysis: Forecasting and Control" Foundation of ARIMA methodology.

  2. Holt-Winters: "Forecasting Seasonals and Trends by Exponentially Weighted Moving Averages" Exponential smoothing methods.

Modern ML

  1. N-BEATS (2020) arXiv:1905.10437 "Neural basis expansion analysis for interpretable time series forecasting"

  2. Temporal Fusion Transformers (2021): arXiv:1912.09363 "Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting"

  3. Informer (2021): arXiv:2012.07436 "Beyond Efficient Transformer for Long Sequence Time-Series Forecasting"

  4. DeepAR (2020): Amazon's probabilistic forecasting with autoregressive recurrent networks.