Journal reference for time series analysis and forecasting

Question

What is the lay of the land of statistics journals that cover time series analysis? I would like to start reading journal articles on time series analysis and forecasting. My interest is in stochastic processes as opposed to deterministic processes, thus i am more interested with the coverage and application of time series as in statistics, economics than with its coverage in say astronomy or physics. For example, I have little interest in Fourier representation (for deterministic functions) but a lot of interest in its analogue for Stationary stochastic processes - spectral analysis.

Are all journals that cover time series doing the same thing and some just do it better, in which case the selection is a matter of figuring out which journal has a higher impact index? Or are different journals concerned with slighly different matters? Which journal should I turn to if I wanted to say better understand what ergodicity is (something most textbooks are terse on)? Which journal should I turn to in order to understand what are the latest developments in time series analysis? When say the ARIMA or GARCH or ECM or Hidden Markov models were developed, what journals did they first appear in? Which journal should I turn to in order to clearly understand what time series analysis is concerned with as opposed to forecasting?

Answer 1

As already discussed, there is a difference between time series analysis and forecasting.

For forecasting specifically, I would very much recommend the International Journal of Forecasting. It contains articles on all kinds of forecasting topics, from econometrics over supply chain and electricity, to demographics and sports, also general interest articles on non-specific forecasting methodology. It's a publication of the International Institute of Forecasters, whose yearly conference, the International Symposium on Forecasting, would also be an interesting venue for you. If you attend, say hi to me!

There is also the Journal of Forecasting, which is more narrowly focused on financial and econometric forecasting. It was originally founded by the very same people who then went on to found the IJF; apparently there is some history there.

Of course, there are articles on forecasting scattered over journals devoted to subject areas where forecasting is useful, like the OR literature, or in more general statistics journals, like JASA or JRSS, or in financial and econometric journals, which I know little about. As always, it is helpful to follow researchers whose papers you found useful.

For practitioners (which I assume does not describe you so well), there is another publication of the IIF, Foresight: The International Journal of Applied Forecasting. It's more focused on supply chain forecasting than the IJF, but sometimes also carries articles on other applications of forecasting and on methodology.

Finally, you might be interested in Petropoulos et al. (2021), "Forecasting: Theory and Practice", which aims at giving a short overview of many, many different areas of forecasting. It was recently accepted for publication in the IJF.

Full disclosure: I used to be on the board of directors of the IIF, am an associate editor of Foresight and am one of the roughly 80 authors of the Petroupoulos et al. article cited above.