Financial time series, Imputation, Missing data, PCA
This study assesses ﬁve approaches for imputing missing values. The evaluated methods include Singular Value Decomposition Imputation (svdPCA), Bayesian imputation (bPCA), Probabilistic imputation (pPCA), Non-Linear Iterative Partial Least squares imputation (nipalsPCA) and Local Least Square imputation (llsPCA). A 5%, 10%, 15% and 20% missing data were created under a missing completely at random (MCAR) assumption using ﬁve (5) variables: Net Foreign Assets (NFA), Credit to Core Private Sector (CCP), Reserve Money (RM), Narrow Money (M1), Private Sector Demand Deposits (PSDD), from 1981 to 2019 using R-software. The ﬁve imputation methods were used to estimate the artiﬁcially generated missing values. The performances of the PCA imputation approaches were evaluated based on the Mean Forecast Error (MFE), Root Mean Squared Error (RMSE) and Normalized Root Mean Squared Error (NRMSE) criteria. The result suggests that the bPCA, llsPCA and pPCA methods performed better than other imputation methods with the bPCA being the more appropriate method and llsPCA, the best method as it appears to be more stable than others in terms of the proportion of missingness.
CBN Journal of Applied Statistics
John, Chisimkwuo; Ekpenyong, Emmanuel J.; and Nworu, Charles C.
"Imputation of Missing Values in Economic and Financial Time Series Data Using Five Principal Component Analysis Approaches,"
CBN Journal of Applied Statistics (JAS): Vol. 10
, Article 3.
Available at: https://dc.cbn.gov.ng/jas/vol10/iss1/3