forecasting time series by updating in R

Question

I'm working on time series with a monthly demand for 5 years in R. Currently, I'm using naive method to forecast 12 months (h=12)and it does work very well I want to forecast only for one month (h=1) (always with naive method) and then include this predicted value to time series and repeat this process 12 times. For example:

1. get forecast for January 2013
2. include this predicted value to time series
3. apply naive method for the new series

My time series is not stationary and has a trend and seasonality.

What I'm looking to do is to forecast using Naive but step by step (month by month) with updating my time series each step. How can I do that?

Answer 1

Surely you will get the same answer. The naive method uses the most recent observation as the forecast. So your first forecast will be equal to the last observation. Your second forecast will be equal to the first forecast, and so is also equal to the last observation. And so on.

In any case, what you describe is precisely how almost all time series forecasts work. It is called the recursive method of forecasting, where predicted values take the place of observations as you forecast further ahead. In the forecast package for R, all purely time series forecasts are created this way.