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Volume 10
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Article

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

by
Marc Hallin
ECARES and Department of Mathematics, Université Libre de Bruxelles, 1050 Bruxelles, Belgium
Econometrics 2022, 10(4), 37; https://doi.org/10.3390/econometrics10040037
Submission received: 27 September 2022 / Revised: 22 November 2022 / Accepted: 1 December 2022 / Published: 13 December 2022
(This article belongs to the Special Issue High-Dimensional Time Series in Macroeconomics and Finance)
Versions Notes

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 this short note, we chose to concentrate on a relatively little-known aspect of Manfred’s contribution that 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 model; spiked covariance model; reduced-rank process high-dimensional time series; general dynamic factor model; spiked covariance model; reduced-rank process

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MDPI and ACS Style

Hallin, M. Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series. Econometrics 2022, 10, 37. https://doi.org/10.3390/econometrics10040037

AMA Style

Hallin M. Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series. Econometrics. 2022; 10(4):37. https://doi.org/10.3390/econometrics10040037

Chicago/Turabian Style

Hallin, Marc. 2022. "Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series" Econometrics 10, no. 4: 37. https://doi.org/10.3390/econometrics10040037

APA Style

Hallin, M. (2022). Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series. Econometrics, 10(4), 37. https://doi.org/10.3390/econometrics10040037

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