On construction of robust composite indices by linear aggregation
In this paper we construct thirteen different types of composite indices by linear combination of indicator variables (with and without outliers/data corruption). Weights of different indicator variables are obtained by maximization of the sum of squared (and, alternatively, absolute) correlation coefficients of the composite indices with the constituent indicator variables. Seven different types of correlation are used: Karl Pearson, Spearman, Signum, Bradley, Shevlyakov, Campbell and modified Campbell. Composite indices have also been constructed by maximization of the minimal correlation. We find that performance of indices based on robust measures of correlation such as modified Campbell and Spearman, as well as that of the maxi-min based method, is excellent. Using these methods we obtain composite indices that are autochthonously sensitive and allochthonously robust. This paper also justifies a use of simple mean-based composite indices, often used in construction of human development index.
Year of publication: |
2008-06-19
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Authors: | Mishra, SK |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Composite index | linear aggregation | principal components | robust correlation | Spearman | Signum | Bradley | Shevlyakov | Campbell | Hampel | outliers | mutilation of data |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C13 - Estimation ; C43 - Index Numbers and Aggregation ; C63 - Computational Techniques ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
Persistent link: https://www.econbiz.de/10005835441