Data Spike Cleaning with MSSA

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.

Keywords: Unphysical Spikes, Multiple Singular Spectrum Analysis, MSSA, Detecting, Fixing

JEL Classification: C1, C14, C22, C63, E44, F65, G1, Y1