Here is an interview with Prof Rob J Hyndman who has created many time series forecasting methods and authored books as well as R packages on the same.
Probably the biggest impact I’ve had is in helping the Australian government forecast the national health budget. In 2001 and 2002, they had underestimated health expenditure by nearly $1 billion in each year which is a lot of money to have to find, even for a national government. I was invited to assist them in developing a new forecasting method, which I did. The new method has forecast errors of the order of plus or minus $50 million which is much more manageable. The method I developed for them was the basis of the ETS models discussed in my 2008 book on exponential smoothing (www.exponentialsmoothing.net)