11.6 Further reading

  • De Livera, Hyndman, & Snyder (2011) introduced the TBATS model and discuss the problem of complex seasonality in general.
  • Pfaff (2008) provides a book-length overview of VAR modelling and other multivariate time series models.
  • Neural networks for individual time series have not tended to produce good forecasts. Crone, Hibon, & Nikolopoulos (2011) discuss this issue in the context of a forecasting competition.
  • Bootstrapping for time series is discussed in Lahiri (2003).
  • Bagging for time series forecasting is relatively new. Bergmeir, Hyndman, & Benítez (2016) is one of the few papers which addresses this topic.