[SciPy-user] fill a timeseries with masked data by correlation from another series

Marco Tuckner marcotuckner@public-files...
Fri Apr 4 04:19:42 CDT 2008


Hello.
> This is fairly common in financial circles for measuring risk. I don't
> have an Internet reference on-hand, but the book _Computational
> Statistics_ by Givens and Hoeting has a chapter on this.
> 
> http://www.amazon.com/Computational-Statistics-Wiley-Probability/dp/0471461245
When talking about literature:
I think we can look at Time Series Analysis and Its Applications: With R Examples
http://www.stat.pitt.edu/stoffer/tsa2/index.html
Maybe it offers some help for the timeseries scikit.

 
> The approach that Pierre suggests (finding a common mask where you
> have data for all time series) is good for 2 series (in fact, it's
> probably optimal), but with increasing numbers of series, you will
> most likely lose too many days to make a reasonable estimate.
Again, I will just test in a quiet minute what you all suggested and give a
feedback.

Kind regards,
Marco



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