Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series

Marc Hallin

No 2022-30, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In thisshort note, we chose to concentrate on a relatively little-known aspect of Manfred’s contribution which nevertheless had quite an impact on the development of one of the most powerful tools of contemporary time series and econometrics: dynamic factor models.

Keywords: High-dimensional time series; General Dynamic Factor Models; spiked covariance model; reduced-rank process. (search for similar items in EconPapers)
Pages: 11 p.
Date: 2022-09
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-his and nep-hpe
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