[R] Linear combination of time series for approximating another one

Dear R community, I would like to approximate a time serie as linear combination of a set of many time series, minimizing the number of the time series involved in the linear combination. Can you recommend to me any method for this? Any paper about this? I will appreciate much your suggestions.

[R] Linear combination of time series for approximating another one.

Dear R community, I would like to approximate a time serie as linear combination of a set of many time series, minimizing the number of the time series involved in the linear combination. Can you recommend to me any method for this? Any paper about this? I will appreciate much your suggestions.