8.12 Further reading

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

Bibliography

Box, G. E. P., & Jenkins, G. M. (1970). Time series analysis: Forecasting and control. San Francisco: Holden-Day.

Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time series analysis: Forecasting and control (5th ed). Hoboken, New Jersey: John Wiley & Sons.

Brockwell, P. J., & Davis, R. A. (2016). Introduction to time series and forecasting (3rd ed). New York, USA: Springer.

Peña, D., Tiao, G. C., & Tsay, R. S. (Eds.). (2001). A course in time series analysis. New York, USA: John Wiley & Sons.