Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff
平衡前视偏差与方差的贝叶斯缺失值填补
Missing time-series data is a prevalent problem in many prescriptive analytics models in operations management, healthcare and finance. Imputation methods for time-series data are usually applied to the full panel data with the purpose of training a prescriptive model for a downstream out-of-sample task. For example, the imputation of missing asset returns may be applied before estimating an optimal portfolio allocation. However, this practice can result in a look-ahead-bias…