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.
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.