Introduction to Statistical Time Series (Wiley Series in Probability and Statistics)

Rating:
Summary: nice graduate level text covering both time and frequency do
Review: In 1981 I used this book for a graduate seminar that I taught on time series analysis at UC Santa Barbara. The course was successful because I followed the text closely. It presents the material in a rigorous and cogent manner. At the time there were a few competing books but some emphasized time domain methods and others were strictly frequnecy domain approaches. Fuller balances the two very well and his book is better written and organized than most of the competitors at that time (1981).

Today there are a lot more books to choose from. You can check my listmania list on time series books to get an idea. I particularly like Brockwell and Davis' book as a competitor to Fuller for a graduate level time series seminar.