The Book of Alternative Data by Denev Alexander; Amen Saeed; & Saeed Amen

Author:Denev, Alexander; Amen, Saeed; & Saeed Amen [Denev, Alexander & Amen, Saeed]
Language: eng
Format: epub
Publisher: John Wiley & Sons, Incorporated
Published: 2020-06-24T00:00:00+00:00

FIGURE 8.14 Car park image with missing pixels mean filled, post-DINEOF.

FIGURE 8.15 Car park image with missing pixels local mean filled, pre-DINEOF.

We ran imputations on the CDS data for three different clusters with different missingness characteristics for 200 samples each. For the patterns in the first cluster with small overall missingness fraction (1.5%), the performance of all methods was comparable and values for MRD of about 0.02 could be achieved. For missingness patterns with higher missingness fractions, the performance of the techniques varied considerably. We found strong and robust performance for the EM-based algorithm, Amelia. It has good time series support natively, including leads and lags, and as such is easier to apply for multivariate time series than MICE, the other MI package tested thoroughly.

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