Peo­ple often ask me for rec­om­men­da­tions on fore­cast­ing books and time series books. So here is list of ten good books to which I often refer. (If you can’t see a table show­ing the books below, try turn­ing off your ad-​​blocker.)

Two are my own books of course (after all, I wrote them because I thought I had some­thing to say), two are by Chat­field (pro­vid­ing a use­ful mix of the­ory and prac­tice), two by Brock­well and Davis (the most acces­si­ble math­e­mat­i­cal treat­ment of time series, but not much on fore­cast­ing in prac­tice), plus the famous Box/​Jenkins/​Reinsell book, Arm­strong’s prin­ci­ples book (which I some­times dis­agree with), Pena, Tiao and Tsay’s excel­lent book cov­er­ing sev­eral top­ics that every­one else ignores, and Cow­pert­wait and Met­calfe (which is use­ful if you are using R).

Related Posts:

• Cre­at­ing a Bib­TeX file from a Google Library
• Search­ing the sta­tis­ti­cal literature
• Econo­met­rics and R
• Sight what you cite
• Researcher por­tals