Ask HN: Good Books on Time Series Analysis?

What are you looking to do exactly?

I studied statistics, stochastic calculus etc... and most of my friends are PhDs in mathematics.

I could recommend a thousand books, but are you sure that's what you want?

To be honest today you have ChatGPT, and some nice medium posts with real life applications that could be more valuable.

If I was you I would:

1) ask chatGPT or use the internet to find concrete examples of what are time series and how to use them,

2) get some real life data (like stocks or crypto - financial data is good for practise)

3) learn how to use Python existing packages amongside the data to predict / process / recognize sequential time series.

4) Try to make money with it - unless you aim to be a professor - which is honorable too.

Can you be more specific as to which application areas or tasks you are interested in? Or your goal in learning about this topic? Time series analysis spans about as wide as tabular data analysis...

Check out the works of Eamonn Keogh. I think his methods are very up to date and applicable as most of his algorithms have implementations in sktime/tslearn/stumpy etc.

Time Series Analysis by James D. Hamilton

This is 30 years old but a classic in the field.

Yes :)

Oh you want a reference. Sadly, I don't remember the text book we used three or so decades back. It was good. The title was simply: "Time Series Analysis".

This is kind of a counterexample for Betteridge's law.