Books for self-studying time series analysis?

Question

I started by Time Series Analysis by Hamilton, but I am lost hopelessly. This book is really too theoretical for me to learn by myself.

Does anybody have a recommendation for a textbook on time series analysis that's suitable for self-study?

Thank you so much!

Answer 1

I would recommed the following books:

1. Time Series Analysis and Its Applications: With R Examples
2. Time Series Analysis and Forecasting by Example

I hope it helps you. Best of luck!

Answer 2

It depends on how much math you want. For a less mathematically-intense treatment, Applied Econometric Time Series by Enders is well-regarded.

Answer 3

In addition to the other text there are two books introductory books in Springer's Use R! series that cover time series:
Introductory Time Series with R and Applied Econometrics in R

There is also an advanced econometrics text in the series, Analysis of Integrated and Co-integrated Time Series with R.

I have not used these but have found several others in the series to be excellent.

Answer 4

There are some good, free, online resources:

1. The Little Book of R for Time Series, by Avril Coghlan (also available in print, reasonably cheap) - I haven't read through this all, but it looks like it's well written, has some good examples, and starts basically from scratch (ie. easy to get into).
2. Chapter 15, Statistics with R, by Vincent Zoonekynd - Decent intro, but probably slightly more advanced. I find that there's too much (poorly commented) code, and not enough explanation thereof.

Answer 5

There are a few books that might be useful. If you are mathematically challenged you might want to start with two SAGE books by Mcdowall, Mcleary, Meidinger and Hay called "Interrupted Time Series Analysis" 1980 OR "Applied Time Series Analysis" by Richard McLeary. As you learn more about time series and decide that you you want more than prose and that you are willing to suffer through some math the Wei text published by Addison-Wessley entitled "Time Series Analysis" would be an excellent choice. In terms of web-based educational material, I have written a lot of useful material which can be viewed at http://www.autobox.com/AFSUniversity/afsuFrameset.htm entitled "Introduction to Forecasting".