R help - May 2009 - hands-on model selection and statistical data analysis books in R?

Hi all,

I am fitting a model to time series of intra-day financial data.

Could anybody point me to some hands-on books about model selection,
model specification test, goodness-of-fit test, feature selection and
statistical time series data analysis? I am looking not for
theoretical or math books, but for guided lab type of books, so that I
could realistically know how to choose the best model, while without
the overfitting. Hopefully it's in R.

Thanks!