Other packages > Find by keyword >

imputeFin  

Imputation of Financial Time Series with Missing Values and/or Outliers
View on CRAN: Click here


Download and install imputeFin package within the R console
Install from CRAN:
install.packages("imputeFin")

Install from Github:
library("remotes")
install_github("cran/imputeFin")

Install by package version:
library("remotes")
install_version("imputeFin", "0.1.2")



Attach the package and use:
library("imputeFin")
Maintained by
Daniel P. Palomar
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2019-12-13
Latest Update: 2021-02-20
Description:
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. .
How to cite:
Daniel P. Palomar (2019). imputeFin: Imputation of Financial Time Series with Missing Values and/or Outliers. R package version 0.1.2, https://cran.r-project.org/web/packages/imputeFin. Accessed 15 Jul. 2026.
Previous versions and publish date:
(2026-07-09 07:49), 0.1.0 (2019-12-13 16:00), 0.1.1 (2020-07-11 15:10)
Other packages that cited imputeFin R package
View imputeFin citation profile
Other R packages that imputeFin depends, imports, suggests or enhances
Complete documentation for imputeFin
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

gscaLCA  
Generalized Structure Component Analysis- Latent Class Analysis & Latent Class Regression
Execute Latent Class Analysis (LCA) and Latent Class Regression (LCR) by using Generalized Structu ...
Download / Learn more Package Citations See dependency  
binhf  
Haar-Fisz Functions for Binomial Data
Binomial Haar-Fisz transforms for Gaussianization as in Nunes and Nason (2009). ...
Download / Learn more Package Citations See dependency  
pulseTD  
Identification of Transcriptional Dynamics using Pulse Models via 4su-Seq Data and RNA-Seq Data
A tool for analyzing the transcription, processing and degradation rates of genes by 4sU-seq (the Me ...
Download / Learn more Package Citations See dependency  
PermAlgo  
Permutational Algorithm to Simulate Survival Data
This version of the permutational algorithm generates a dataset in which event and censoring times ...
Download / Learn more Package Citations See dependency  
SECFISH  
Disaggregate Variable Costs
These functions were developed within SECFISH project (Strengthening regional cooperation in the are ...
Download / Learn more Package Citations See dependency  
gamlss.add  
Extra Additive Terms for Generalized Additive Models for Location Scale and Shape
Interface for extra smooth functions including tensor products, neural networks and decision trees. ...
Download / Learn more Package Citations See dependency  

27,806

R Packages

239,283

Dependencies

73,837

Author Associations

27,807

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA