Constructing Economic Summary Indexes via Principal Curves

Zayed, Mohammad; Einbeck, Jochen

Abstract

Index number construction is an important and traditional subject in both the statistical and the economical sciences. A novel technique based on localized principal components to compose a single summary index from a collection of indexes is proposed, which is implemented by fitting a (local) principal curve to the multivariate index data. We exploit the ability of principal curves to extract robust low-dimensional `features' (corresponding to the summary index) from high-dimensional data structures, yielding further useful analytic tools to study the behaviour and composition of the summary index over time.

Citation

Zayed, M., & Einbeck, J. (2010, December). Constructing Economic Summary Indexes via Principal Curves. Presented at COMPSTAT 2010, Paris, France

• Presentation Conference Type: Conference Paper (published)
• Conference Name: COMPSTAT 2010
• Publication Date: 2010
• Deposit Date: Aug 23, 2011
• Publisher: Springer Verlag
• Pages: 1709-1716
• Keywords: summary indexes, feature extraction, principal component analysis, smoothing
• Public URL: https://durham-repository.worktribe.com/output/1158887
• Publisher URL: http://www.springer.com/statistics/computanional+statistics/book/978-3-7908-2603-6