- 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
Box, G. E. P., & Jenkins, G. M. (1970). Time series analysis: Forecasting and control. Holden-Day.
Box, G. E. P., Jenkins, G. M., Reinsel, G. C., & Ljung, G. M. (2015). Time series analysis: Forecasting and control (5th ed). John Wiley & Sons. [Amazon]
Brockwell, P. J., & Davis, R. A. (2016). Introduction to time series and forecasting (3rd ed). Springer. [Amazon]
Hyndman, R. J., & Khandakar, Y. (2008). Automatic time series forecasting: The forecast package for R. Journal of Statistical Software, 27(1), 1–22. [DOI]
Peña, D., Tiao, G. C., & Tsay, R. S. (Eds.). (2001). A course in time series analysis. John Wiley & Sons. [Amazon]