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

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 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.

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

“…(L, as usual, stands for the lag operator), while the idiosyncratic component ξ it , having bounded dynamic eigenvalues, is only mildly cross-correlated (it can be strongly autocorrelated, though); see Hallin and Lippi (2019) or Lippi et al (2022) for recent surveys.…”