[R] To approach time series using a data set

[fsantos at ujaen.es]

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?

Thanks in advance