In these notes, I review and analyze the time series text Time Series Analysis 4th Edition by Robert Shumway and David Stoffer. I also review and analyze the text Financial Time Series by Ruey Tsay.
Other References:
- Roberty Hndman has great free stuff: https://otexts.com/fpp3/ (but its in R). this is what our forecasts at flexport are based on.
- This is a very good book: https://cpb-us-w2.wpmucdn.com/blog.nus.edu.sg/dist/0/6796/files/2017/03/analysis-of-financial-time-series-copy-2ffgm3v.pdf. No code.
- Here is standard statistical treatment of time series: https://warin.ca/ressources/books/2016_Book_IntroductionToTimeSeriesAndFor.pdf. No code.
- This is very good for R https://www.stat.pitt.edu/stoffer/tsa4/
- https://mrf-web.readthedocs.io/en/latest/index.html and this https://arxiv.org/abs/2006.12724 - random forest forecasting. Very influential right now.
- https://pypi.org/project/tbats/