Title: Missing value imputation via copula and transformation methods, with applications to financial and economic data

Authors: Craig Friedman; Jinggang Huang; Yangyong Zhang; Wenbo Cao

Addresses: Standard and Poor's, 55 Water Street, 46th Floor, New York, NY 10041, USA. ' Standard and Poor's, 55 Water Street, 46th Floor, New York, NY 10041, USA. ' Standard and Poor's, 55 Water Street, 46th Floor, New York, NY 10041, USA. ' Standard and Poor's, 55 Water Street, 46th Floor, New York, NY 10041, USA

Abstract: We present new, tractable methods to impute missing values based on conditional probability density functions that we estimate via copula and mixture models. Our methods exploit known analytical results concerning conditional distributions for the Arellano-Valle and Bolfarine's generalised t-distribution and fast, accurate quadrature methods. We also benchmark our approach on three financial/economic datasets (two of which are publicly available) and show that our methods outperform benchmark approaches on these data.

Keywords: missing variable imputation; generalised t-distribution; Arellano-Valle; Bolfarine; copula; mixture models; quadrature; data analysis; missing values; transformation; financial data; economic data.

DOI: 10.1504/IJDATS.2012.050404

International Journal of Data Analysis Techniques and Strategies, 2012 Vol.4 No.4, pp.315 - 339

Received: 08 May 2021
Accepted: 12 May 2021

Published online: 16 Nov 2012 *

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