imputeFin: Imputation of Financial Time Series with Missing Values and/or Outliers

Missing values often occur in financial data due to a variety of reasons (errors in the collection process or in the processing stage, lack of asset liquidity, lack of reporting of funds, etc.). However, most data analysis methods expect complete data and cannot be employed with missing values. One convenient way to deal with this issue without having to redesign the data analysis method is to impute the missing values. This package provides an efficient way to impute the missing values based on modeling the time series with a random walk or an autoregressive (AR) model, convenient to model log-prices and log-volumes in financial data. In the current version, the imputation is univariate-based (so no asset correlation is used). In addition, outliers can be detected and removed. The package is based on the paper: J. Liu, S. Kumar, and D. P. Palomar (2019). Parameter Estimation of Heavy-Tailed AR Model With Missing Data Via Stochastic EM. IEEE Trans. on Signal Processing, vol. 67, no. 8, pp. 2159-2172. <doi:10.1109/TSP.2019.2899816>.

Version:	0.1.2
Depends:	R (≥ 2.10)
Imports:	MASS, zoo, mvtnorm, magrittr, parallel
Suggests:	knitr, ggplot2, prettydoc, rmarkdown, R.rsp, testthat, xts
Published:	2021-02-20
DOI:	10.32614/CRAN.package.imputeFin
Author:	Daniel P. Palomar [cre, aut], Junyan Liu [aut], Rui Zhou [aut]
Maintainer:	Daniel P. Palomar <daniel.p.palomar at gmail.com>
BugReports:	https://github.com/dppalomar/imputeFin/issues
License:	GPL-3
URL:	https://CRAN.R-project.org/package=imputeFin, https://github.com/dppalomar/imputeFin, https://www.danielppalomar.com, https://doi.org/10.1109/TSP.2019.2899816, https://doi.org/10.1109/TSP.2020.3033378
NeedsCompilation:	no
Citation:	imputeFin citation info
Materials:	README NEWS
In views:	MissingData
CRAN checks:	imputeFin results

Documentation:

Reference manual:	imputeFin.pdf
Vignettes:	Imputation of Financial Time Series

Downloads:

Package source:	imputeFin_0.1.2.tar.gz
Windows binaries:	r-devel: imputeFin_0.1.2.zip, r-release: imputeFin_0.1.2.zip, r-oldrel: imputeFin_0.1.2.zip
macOS binaries:	r-release (arm64): imputeFin_0.1.2.tgz, r-oldrel (arm64): imputeFin_0.1.2.tgz, r-release (x86_64): imputeFin_0.1.2.tgz, r-oldrel (x86_64): imputeFin_0.1.2.tgz
Old sources:	imputeFin archive

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