Di Fonzo, Tommaso - Marini, Marco (2011) A Newton's Method for Benchmarking Time Series according to a Growth Rates Preservation Principle. [Working Paper] WORKING PAPER SERIES, 7/2011 . , PADOVA (Inedito)
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We present a new technique for temporally benchmarking a time series according to the Growth Rates Preservation (GRP) principle by Causey and Trager (1981). This procedure basically looks for the solution to a non linear program, according to which f(x), a smooth, non-convex function of the unknown values of the target time series xt, t = 1, . . . , n, has to be minimized subject to linear equality constraints which link the more frequent series xt to a given, less frequent benchmark series bT, T = 1, . . . ,m. We develop a Newton's method with Hessian modification applied to a suitably reducedunconstrained problem. This method exploits the analytic Hessian of the GRPobjective function, making full use of all the derivative information at disposal.
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