Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty. (arXiv:1908.04369v1 [econ.GN])

I propose a novel method, called the Wasserstein Index Generation model (WIG), to generate public sentiment index automatically. It can be performed off-the-shelf and is especially good at detecting sudden sentiment spikes. To test the model's effectiveness, an application to generate Economic Policy Uncertainty (EPU) index is showcased.