Lots of people have already made good library recommendations, so I will make a non-recommendation for all the data science students out there: stop thinking ab

Lots of people have already made good library recommendations, so I will make a non-recommendation for all the data science students out there: stop thinking about libraries, and start thinking about models. "What library do I use?" is the wrong question. "What model do I use?" is the right question. Libraries are just part of the process of answering that question. That said, high quality implementations of interesting times series models seem hard to come by, so it's still a legitimate question to ask about libraries. but consider the goal of asking about libraries: you want to find high-quality implementations of useful models, not a magic black box that you can crank data through.