8.12 Further reading

The classic text which popularized ARIMA modelling was Box and Jenkins (1970). The most recent edition is Box et al. (2015), and it is still an excellent reference for all things ARIMA. Brockwell and Davis (2016) provides a good introduction to the mathematical background to the models, while Peña, Tiao, and Tsay (2001) describes some alternative automatic algorithms to the one used by auto.arima().

References

Box, George E P, and Gwilym M Jenkins. 1970. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.

Box, George E P, Gwilym M Jenkins, Gregory C Reinsel, and Greta M Ljung. 2015. Time Series Analysis: Forecasting and Control. 5th ed. Hoboken, New Jersey: John Wiley & Sons.

Brockwell, Peter J, and Richard A Davis. 2016. Introduction to Time Series and Forecasting. 3rd ed. New York: Springer.

Peña, Daniel, George C Tiao, and Ruey S Tsay, eds. 2001. A Course in Time Series Analysis. New York: John Wiley & Sons.