Component Analysis in Cross-Sectional and Longitudinal Data

Abstract
An extension of component analysis to longitudinal or cross-sectional data is presented. In this method, components are derived under the restriction of invariant and/or stationary compositing weights. Optimal compositing weights are found numerically. The method can be generalized to allow differential weighting of the observed variables in deriving the component solution. Some choices of weightings are discussed. An illustration of the method using real data is presented.