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I'm trying to learn techniques for estimating the parameters of standard time series (AR, ARMA, GARCH, etc.), and can't seem to find a solid resource online. Specifically, I'd like one that addresses the estimate of standard errors of such estimates as well. An example of what I'd like to learn is from my question here. I'd like some references to texts/online resources that explain these issues well.

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  • $\begingroup$ You really need to tell us more or less what do you know, for instance, do you expect an applied or mathy book? $\endgroup$ – kjetil b halvorsen Apr 30 '17 at 11:30
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You didn't so far tell us more or less what level of book do you expect. For a book with emphasis on the theoretical underpinings of time series analysis, I would start with maybe Hamilton, or a good econometrics book, maybe Hayashi. If you want something more applied, so tell us.

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