[R-SIG-Finance] Imputing Missing Values
Pankaj K Agarwal
pankajsbi at yahoo.com
Sun Jun 26 14:53:02 CEST 2016
This might be a very basic query for this erudite group. However, i am hopeful some help will be forthcoming nevertheless.I have a monthly time series of annualized t-bill rates on Indian markets. For some months, the values are missing randomly. I need to convert the annualized yields into daily as well as monthly yields. I have two questions:1. I am using package zoo. Which of the methods of NA imputations will be advisable for this series, viz., na.agggregate, na.locf, na.spline or na.approx etc.?2. Should the imputation be done on monthly annual yields and then the conversion to daily and monthly yields be performed or imputation be done afterwards?3. Are there better methods than above for this task?
I will be extremely grateful for comments. Thanks a ton. Regards,Pankaj
[[alternative HTML version deleted]]
More information about the R-SIG-Finance