Dear R community, I have to approach a time serie as a linear combination of many time series in a dataset. Of course, I would like that this linear combination is optimal (I would like to use the minimal number of times series) although I can loose some information. Moreover, each variable of the dataset has associated a "cost" which range from 0 to 9. I also would like to find this optimal combination and to make minimal de sum of this "cost". Could you give to me some suggestions? Do your know some interesting reference for starting?
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