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Department of Mathematical Sciences

Academic Staff

Publication details for Jochen Einbeck

Zayed, Mohammad & Einbeck, Jochen (2010), Constructing Economic Summary Indexes via Principal Curves, in Yves Lechevallier & Gilbert Saporta eds, COMPSTAT 2010. Paris, France, Springer, Paris, 1709-1716.

Author(s) from Durham

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.