I have time series for 3 variables, say energies from 3 sources (e1, e2, e3). I have checked their dependency using the calculation of the correlation of each pair and found that their dependency is not ignorable (correlation varies between 0.3 to 0.7). They must be summed with their own weights (w1,w2, and w3, respectively) to retrieve total energy (E_total= w1*e1 + w2*e2 + w3*e3). I have also a benchmark to evaluate the total energy. The problem is that I don't know how to define the proper weights to sum those 3 variables. I really appreciate any help.