What are some good resources for the history of time series analysis?

Question

I have checked out the answer to this question on stats.stackexchange: What are good resources providing a history of statistics? Indeed, the Stigler book "Statistics on the Table" looks excellent and I'm looking forward to reading it. But I'm more interested in the development of modern ARIMA models.

I think I remember hearing that much progress was stimulated in trying to predict random inaccuracies with artillery guns around WWII. Also, of course, to some extent astronomers throughout the second half of the millennium were using some sort of time series for understanding the motion of heavenly bodies. However, I can't remember where I heard about the artillery application of time series and I have a background in physics, and I don't really know what statistical methods the astronomers were working with.

So, I would love to hear what you think are the most pertinent historical influences on the development of time series methods, e.g., were they stimulated mainly by finance, defense, geology/geophysics, or some combination of all these and more? Are there informative books or websites on the history of ARIMA?

Answer 1

You might find Mary S. Morgan's History of Econometric Ideas interesting. Its focus is in on the history of economic cycle analysis from late 19th to mid 20th century. In particular, the story of the debate on the relationship between sunspots and agricultural output was fascinating.

Answer 2

On time series visualization, a good reference is Aigner, Miksch, Schumann and Tominski (2011) Visualization of Time-Oriented Data, Springer. Chapter 2 covers history.

Answer 3

Another source of the history of time series analysis is "The foundations of modern time series analysis” by Mills, Terence C.

Answer 4

This is quite good also. I'm not sure how it compares to the ones already mentioned.

Statistical Visions in Time (A History of Time Series Analysis, 1662-1938) by Judy L. Klein.