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AN OPTIMALITY CRITERION FOR AGGREGATING A SET OF TIME SERIES IN A COMPOSITE INDEX
Article first published online: 26 DEC 2001
DOI: 10.1111/1467-9892.00035
Blackwell Publishers Ltd 1997
1467-9892/asset/cover.gif?v=1&s=eec782011cf3959dc4aa59555e8f84f3d4459106 "Journal of Time Series Analysis")
Additional Information
How to Cite
Baragona, R. and Carlucci, F. (1997), AN OPTIMALITY CRITERION FOR AGGREGATING A SET OF TIME SERIES IN A COMPOSITE INDEX. Journal of Time Series Analysis, 18: 1–9. doi: 10.1111/1467-9892.00035
Publication History
- Issue published online: 26 DEC 2001
- Article first published online: 26 DEC 2001
- Abstract
- Cited By
Keywords:
- Composite index construction;
- principal components;
- reference series;
- spectral components;
- time series aggregation;
- time series alignment
Linear combination is a common feature of most methods designed to aggregate a set of time series into a composite index. In this paper the principal components approach is utilized by means of spectral techniques to improve the variance explained by the first principal component. The optimality criterion resorts to the alignment of the elements of the vector time series.