Forecasting: Principles and Practice, Rob J Hyndman, George Athanasopoulos, 2021 (OTexts) - A comprehensive online textbook that details various forecasting methods and the evaluation metrics specific to time series predictions.
Deep Learning, Ian Goodfellow, Yoshua Bengio, and Aaron Courville, 2016 (MIT Press) - A core text for deep learning, offering a background on loss functions and evaluation metrics that underpin many sequence prediction models.
A survey of forecast error measures, M. Shcherbakov, A. Breitenstein, and J. Reif, 2013Proceedings of the 32nd International Symposium on Forecasting - This paper provides a systematic survey of forecast error measures, discussing their properties and suitability for different forecasting scenarios.