AN OPTIMALITY CRITERION FOR AGGREGATING A SET OF TIME SERIES IN A COMPOSITE INDEX
Roberto Baragona, Francesco Carlucci · Journal of Time Series Analysis · 1997
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.