This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

We propose a dynamic factor model for the analysis of multivariate time series count data. Our model allows for idiosyncratic as well as common serially correlated latent factors in order to account for potentially complex dynamic interdependence between series of counts. The model is estimated...

One serious problem in deep hole drilling is the occurrence of a dynamic disturbances called spiralling. A common explanation for the occurrence of spiralling is the coincidence of time varying bending eigenfrequencies of the tool with multiples of the spindle rotation frequency. We propose a...