A new online forecasting textbook by Rob J Hyndman and George Athanasopoulos
Hyndman, Koehler, Ord and Snyder (2008), Forecasting with exponential smoothing: the state space approach, Springer.
Makridakis, Wheelwright and Hyndman (1998), Forecasting: methods and applications, Wiley: New York.
Rob J Hyndman (1992) PhD thesis, The University of Melbourne. Abstract: This thesis considers continuous time autoregressive processes defined by stochastic differential equations and develops some methods for modelling time series data by such processes. The first part of the thesis looks at continuous time linear autoregressive (CAR) processes defined
Brockwell, P.J., Davis, R.A. and Hyndman, R.J. (1991) ITSM: an interactive time series modelling package for the PC (Springer-Verlag: New York).