Introductory book/text on Time Series analysis and forecasting

I use R for financial time series analysis, so this is biased towards that application. The most basic area for what you're considering is the Box-Jenkins methodology.

1. Ruey Tsay's "Analysis of Financial Time Series" is probably one of the most used for introductory courses at major universities.
2. Shumway and Stoffer. "Time Series Analysis and Its Applications: With R Examples".
3. Cryer. "Time Series Analysis: With Applications in R" is a classic on the subject, updated to include R code.

And a little more applied:

1. Eric Zivot's "Modeling financial time series with S-PLUS" gives a good overview.
   
2. Kleiber and Zeileis. "Applied Econometrics with R" doesn't address this specifically, but it covers the overall subject very well (see also the AER package on CRAN).

I also recommend looking at Ruey Tsay's homepage because it covers all these topics, and provides the necessary R code. In particular, look at "Analysis of Financial Time Series", and "Multivariate Time Series Analysis" courses.

Website of prof.Eamonn Keogh is a very good starting point for time series analysis in domain of data mining and knowledge discovery. He has very novel approach (SAX) to represent time series with symbols(kind of discretization).It helps anyone to use usual machine learning and motif discovery algorithms(originated in bio-informatics) to extract information and predict time series. Also he has large data set for time series analysis and machine learning.

Ruey Tsay's "Analysis of Financial Time Series" is the best book I think, recently mentioned by Shane in first answer.

"Time-Series Forcasting" by Chris Chatfield is covering time-series variants but only introduce ARMA family models. Nice for simple jump-start.

Handbook of Time Series Analysis[Schelter,Winterhalder and Timmer,wiley 2006] could give you a road map and introduce different recent domains of time series analysis which helps you to focus on your proper subject and not to mess with other irrelevant complex subjects. Handbooks are always my good friends.

I had to train-up on time series methods last year and found the following free resources helpful:

• IST/SEMATECH e-Handbook of Statistical Methods section on Introduction to Time Series Analysis: Brief but to the point presentation of some core time series concepts.
• A First Course on Time Series Analysis: A full fleshed-out book on time series in SAS.

After reviewing free resources, I bought Forecasting: Methods and Applications and found it to be a great fit between theory and practice.

I suggest Strategico, a free and opensource tool for analysis over time series. The first implement analysis is the Long Term Prediction: it fit the best modle among Linear, Trend, Arima, Exp Smoothing,..

Regards Matteo http://www.redaelli.org/matteo/