PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

X-SOM and L-SOM: a Nested Approach for Missing Value Imputation
Paul Merlin, Antti Sorjamaa, Bertrand Maillet and Amaury Lendasse
In: ESANN'09 Conference, 22 - 24 April 2009, Bruges, Belgium.

Abstract

In this paper, a new method for the determination of missing values in temporal databases is presented. This one is based on a robust version of a nonlinear classification algorithm called Self-Organizing Maps and it consists of a combination of two classifications in order to take advantage of spatial as well as temporal dependencies of the dataset. This nested approach leads to a significant improvement of the estimation of the missing values. An application of the determination of missing values for hedge fund return database is presented.

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EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:4924
Deposited By:Amaury Lendasse
Deposited On:24 March 2009