Re: [R] rank reduction method in time series analysis?

Hello: Have you looked at Pfaff (2008) Analysis of Integrated and Cointegrated Time Series with R, 2nd ed. (Springer)? I have not read this book, but the title and table of contents sounds like it contains many alternative answers to your question, with the best among those

[R] rank reduction method in time series analysis?

Hi all, Suppose I have 100 simultaneous time series, what's the best statistical procedure to figure out a transformation of the data, and see if we could squeeze most of the information into a few transformed time series? Thanks! __