Description Usage Arguments Value Author(s) See Also

Impute inner missing values (excluding leading and trailing ones)
of an OHLC time series on a rolling window basis. This is a wrapper
of the functions `impute_AR1_Gaussian`

and
`impute_rolling_AR1_Gaussian`

.

1 2 3 4 5 6 7 8 | ```
impute_OHLC(
y_OHLC,
rolling_window = 252,
remove_outliers = FALSE,
outlier_prob_th = 0.001,
tol = 1e-10,
maxiter = 100
)
``` |

`y_OHLC` |
Time series object coercible to a numeric matrix (e.g., |

`rolling_window` |
Rolling window length (default is |

`remove_outliers` |
Logical value indicating whether to detect and remove outliers. |

`outlier_prob_th` |
Threshold of probability of observation to declare an outlier (default is |

`tol` |
Positive number denoting the relative tolerance used as stopping criterion (default is |

`maxiter` |
Positive integer indicating the maximum number of iterations allowed (default is |

Imputed OHLC prices.

Daniel P. Palomar

`impute_AR1_Gaussian`

, `impute_rolling_AR1_Gaussian`

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