Cleaning Data with Real-World Updating Using MSSA

14 Pages Posted: 20 Jul 2016

See all articles by Jan Dash

Jan Dash

Fordham University; Bloomberg LP

Yan Zhang

Bloomberg LP

Date Written: July 19, 2016

Abstract

Data cleaning in the real world has to cope with new data arriving (or failing to arrive) as time passes, and which may be bad data. We illustrate MSSA data cleaning with a real-time historical simulation on some problematic data. The example also serves to determine some MSSA algorithm parameters. This paper expands previous work on MSSA applied to data cleaning (filling data holes, removing spikes, simulation) described in previous papers.

Keywords: Data Cleaning, Problematic Data, MSSA, Real-Time Historical Simulation

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

Suggested Citation

Dash, Jan and Zhang, Yan, Cleaning Data with Real-World Updating Using MSSA (July 19, 2016). Available at SSRN: https://ssrn.com/abstract=2811714 or http://dx.doi.org/10.2139/ssrn.2811714

Jan Dash (Contact Author)

Fordham University ( email )

113 W. 60th St
New York, NY 10023
United States

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

Yan Zhang

Bloomberg LP ( email )

731 Lexington Ave
New York, NY 10022
United States

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