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MTH6139 Time Series

School of Mathematical Sciences




Although there are many good time series textbooks, no one covers the lecture closely. The alphabetical list below is only a small part of what is available. The most recommended books for this course are numbers 2, 3, 4 and 10 on this list. However, if you find some other books on time series which you like you are most welcome to read them.


1.       Box, G.E.P. and Jenkins, G.M. (1976). Time Series Analysis:Forecasting and Control. Revised Edition. Holden Day.

2.       Brockwell, P.J. and Davis, R.A. (2002). An Introduction to Time Series and Forecasting. Second Edition. Springer Text in Statistics..

3.       Chatfield, C. (2004). The Analysis of Time Series. An Introduction. Sixth Edition. Chapman & Hall.

4.       Diggle, P.J. (2000). Time Series. A Biostatistical Introduction. Oxford Science Publications.

5.       Fuller, W.A. (1976). Introduction to Statistical Time Series. Wiley.

6.       Hamilton, J.D. (1994). Time Series Analysis. Princeton University Press.

7.       Harvey, A.C. (1993). Time Series Models. Second Edition. Harvester. New York.

8.       Kendal and Stuart (1976). The Advanced Theory of Statistics. Vol. 3, Chapter 46. Griffin, London.

9.       Makridakis, S., Wheelwright, S.C. and McGee V.E. (1983). Forecasting: Methods and Applications. Wiley, New York.

10.   Shumway, R.H. and Stoffer, D.S. (2000). Time Series Analysis and Its Applications. Springer Text in Statistics.