Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/219299 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 10 [Issue:] 1 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Year:] 2019 [Pages:] 51-73
Verlag: 
The Central Bank of Nigeria, Abuja
Zusammenfassung: 
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.
Schlagwörter: 
Financial time series
Imputation
Missing data
PCA
JEL: 
C15
C32
C52
E29
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
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