AN OPTIMALITY CRITERION FOR AGGREGATING A SET OF TIME SERIES IN A COMPOSITE INDEX

DOI10.1111/1467-9892.00035zbMATH Open0870.62069OpenAlexW2103716924MaRDI QIDQ4337821

Francesco Carlucci, Roberto Baragona

Publication date: 27 May 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00035

zbMATH Keywords

linear combinationvector time seriesoptimality criterionlinear filterspectral componentstime series aggregationcomposite index constructionprincipal components approachreference seriestime series alignment

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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