The forecast package for R provides methods and tools for displaying and analysing univariate time series forecasts including exponential smoothing via state space models and automatic ARIMA modelling. It also includes a handful of data sets from the Time Series Data Library. The package is described in Hyndman and Khandakar (2008).
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The hts package provides methods for analysing and forecasting hierarchical time series.
The demography package for R contains functions for various demographic analyses. It provides facilities for demographic statistics, modelling and forecasting. In particular, it implements lifetable calculations; Lee-Carter modelling and variants; functional data analysis of mortality rates, fertility rates, net migration numbers; and stochastic population forecasting. Examples funcfor.R: analysis from Hyndman and Ullah (2005) adelaide.R: analysis from a talk given to the Australian Population Network in Adelaide, November 2004. Other shorter examples are given in the help files. Extra data are available in the addb package. The latest (beta) version is on github which is normally slightly ahead of the CRAN version
The hdrcde package provides tools for computation of highest density regions in one and two dimensions, kernel estimation of univariate density functions conditional on one covariate, and multimodal regression.
The ftsa package provides tools for modelling and forecasting functional time series.