9.12 Further reading

  • The classic text which popularised ARIMA modelling was Box & Jenkins (1970). The most recent edition is Box et al. (2015), and it is still an excellent reference for all things ARIMA.
  • Brockwell & Davis (2016) provides a good introduction to the mathematical background to the models.
  • The Hyndman-Khandakar algorithm for automatically selecting an ARIMA model is described in (Hyndman & Khandakar, 2008).
  • Peña et al. (2001) describes some alternative automatic algorithms to the one used by ARIMA().