Questions tagged [outliers]

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How to remove outliers in financial times series?

I have a bunch of time series; i need to clean them before modelling. So far I just know the “filtering/smoothing” method : -Ex: moving average methodology (filter the data with a moving average (...
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Rolling Winsorization for Time-Series

I'm running a multivariate time series analysis and need to deal with some outliers. I'm thinking about using a rolling winsorization (e.g., pull anything above 99.5 percentile and replace with the 99....