It’s real fun to do projects with real datasets and R. My first time series project was enriching. We used
+ regression with trend, seasonal and cyclical component
+ ARIMA of the residual of above
+ Direct ARIMA and Seasonal ARIMA fitting
to model daily energy consumption of a factory of 2010 & 2011. Used January 2012 data for cross validation.
Many teams used datasets on exchange rates, CPI, tourism data etc. Something new learnt everyday, like the ADF and Philippe Perron Unit tests to test for stationarity of data. Need to confirm their null hypotheses though.
New modelling methods to look at:
+ GARCH family
+ Neural network in R
+ Support Vector Regression