imputeFin

0.1.2

Imputation of Financial Time Series with Missing Values and/or Outliers

0packages depend

7.3Kdownloads / year

76.0%test coverage

11/13checks pass

Overview

About

Maintained by Daniel P. PalomarFirst published 2019-12-133 releasesCRAN page ↗GitHub ↗

Missing values often occur in financial data due to a variety of reasons (errors in the collection process or in the processing stage, lack of asset liquidity, lack of reporting of funds, etc.). However, most data analysis methods expect complete data and cannot be employed with missing values. One convenient way to deal with this issue without having to redesign the data analysis method is to impute the missing values. This package provides an efficient way to impute the missing values based on modeling the time series with a random walk or an autoregressive (AR) model, convenient to model log-prices and log-volumes in financial data. In the current version, the imputation is univariate-based (so no asset correlation is used). In addition, outliers can be detected and removed. The package is based on the paper: J. Liu, S. Kumar, and D. P. Palomar (2019). Parameter Estimation of Heavy-Tailed AR Model With Missing Data Via Stochastic EM. IEEE Trans. on Signal Processing, vol. 67, no. 8, pp. 2159-2172. doi:10.1109/TSP.2019.2899816.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("imputeFin", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("dppalomar/imputeFin")

Development version from dppalomar/imputeFin. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-imputefin

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-imputeFin

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-imputeFin

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

2NOTE11OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-clang
NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 3.1 min · r-devel-linux-x86_64-fedora-clang

Code health

Yes

Tests · ratio 0.21

76.0%

Coverage · measured lines

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-07-20
11 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-07-19
11 OK · 1 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 286 wordsVignettesNopkgdown siteNoNEWSYes · 100% structuredCode of conductNoContributing guideNo

Examples that run: 86%
Documented parameters: 98%
Return-value docs: 88%
References docs: 50%

Downloads

7.3K

CRAN downloads in the past year

Rank #5,655 · ~20/day · ~611/mo

Releases R versions

Daily download trend is not available in this view yet.

45730 days

1.7K90 days

7.3K1 year

Compare downloads with other packages →

Also on111 r2u37 autocran39 c2d4u

Repository

GitHub ↗ dppalomar/imputefin

27Stars

3Forks

3Open issues

0Open PRs

3Releases

205Commits

5Contributors

financial-datamissing-valuesoutlierstime-series

License GPL-3.0 · 205 commits · Last activity 2021-09-27

Repository practices

Upstream repositoryBeta

4 development-tooling and community-health practices detected across 4 families in the upstream repository

Checks run against github.com/dppalomar/imputefin on 2026-07-19.

Reproducibility and dev environment (1)

data-raw/

CRAN release process (1)

cran-comments.md

Docs source (1)

README.Rmd

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

10 external dependencies (excludes base and recommended)

Depends (1)

R >= 2.10

Imports (5)

MASSzoo mvtnorm magrittrparallel

LinkingTo (0)

none

Suggests (7)

knitr ggplot2 prettydoc rmarkdown R.rsp testthat xts

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 2,849 (78%)Rd 817 (22%)Other 10 (0%)

Code characteristics

Cyclomatic complexity: 3.0 median / 39 max
Test cases: 27 / 0.21 per code line

Test coverage

Line coverage

76%

Expression

78.5%

Tests / Examples

76.0% / 41% ex

Functions

42 8 exported

Complexity

7.5 avg / 39 max

Call network

42 nodes / 61 edges

Call graph

Open call graph →

Loading call graph…

Lowest coverage

42 functions

Function	Cyclo	Coverage
impute_OHLC exp	1	0%
impute_rolling_AR1_Gaussian exp	4	0%
plot_imputed exp	13	0%
fit_AR1_Gaussian_complete	9	0%
fit_AR1_t_complete	16	0%
loglikFullObs	1	0%

People & History

People (3)

Maintainer (1)

Daniel P. Palomar

Maintainer, Author

Authors (3)

Daniel P. Palomar

Maintainer, Author

Junyan Liu

Author

Rui Zhou

Author · added in 0.1.2

Listed in earlier versions (1)

Daniel P.

no longer listed · 0.1.0 to 0.1.2

Package Timeline

3 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
0.1.2Latest
2021-02-20 · current release · diff ↗
0.1.1
2020-07-11 · diff ↗
R
R 4.0.0 released · 2020-04-24
0.1.0
2019-12-13
R
R 3.6.0 released · 2019-04-26

Package metadata

First published: 2019-12-13
Total releases: 3 / 7 yrs
License: GPL-3 OSI
Minimum R: ≥ 2.10
Bundled data: 13 KB / 3 files
Download size: 1.0 MB
Installed size: not tracked yet
With dependencies: not tracked yet

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