Can Imputer be a solution?
Le 7 mars 2014 21:29, "Vijay Desai" <vijay.de...@gmail.com> a écrit :
> Skipper, thanks for your input.
>
> On Fri, Mar 7, 2014 at 2:18 PM, Skipper Seabold <jsseab...@gmail.com>
> wrote:
> > On Fri, Mar 7, 2014 at 2:01 PM, Vijay Desai <vijay.de...@gmail.com>
> wrote:
> >>
> >> It is actually commodities futures data.
> >>
> >> Another way to handle missing data could be to estimate covariance
> >> matrix by ignoring the missing values and then determine eigenvectors
> >> of the covariance matrix to obtain principal components.
> >
> >
> > I'm dealing with similar issues in macroeconomics/forecasting (diffusion
> > indexes, factor analysis). I'm using pandas and imputing some values
> before
> > doing dimension reduction via moving average or Kalman smoother. YMMV.
> >
> > Skipper
> >
> >
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