Time Series Prediction: Forecasting the Future and Understanding the Past. Proceedings of the NATO Advanced Research Workshop on a Comparative Time Series Analysis Held in Santa Fe, New Mexico, 14-17 May 1992.
KK, Andreas S. Weigend, Neil Gershenfeld · Journal of the American Statistical Association · 1994
The book is a summary of a time series forecasting competition that was held a number of years ago. The competition used four different kinds of time series (for example, one data set was chaotic from measurements of a laser, and another was a multidimensional physiological times series of heart beats and respiration, etc.). The strength of the book lies in that it represents several ways to approach real time series prediction strategies in a concrete way - Invaluable, especially to researchers who may be just beginning.