Data Spike Cleaning with MSSA

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2016 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Jan W Dash; Yan Zhang;

doi: 10.2139/ssrn.2811696

Data Spike Cleaning with MSSA

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Abstract

This paper introduces a powerful method for detecting and fixing unphysical spikes in time series. The method utilizes Multiple Singular Spectrum Analysis (MSSA) to define local market trends used to identify outlier data spikes that are not caused by market movements, and then effectively correct the spikes. Various refinements for spike identification are proposed. This work extends previous work using MSSA to fill gaps or holes in time series.

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Fields of Science

natural sciences

Fields of Science

natural sciences

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