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Data-quality report for an event-probability series

Source: R/validate.R
ec_validate.Rd

Screens an event_prices object for the data problems that matter for clock estimation, following the flag-don't-drop philosophy: nothing is altered, everything is reported.

Usage

ec_validate(x)

# S3 method for class 'ec_validation'
print(x, ...)

Arguments

x

An event_prices object (or coercible).

...

Unused (for the print method).

Value

A one-row tibble of class ec_validation with columns market_id, n_obs, start, end, spacing_days, n_na, share_clip, share_zero_incr, max_stale_run, tick, n_gaps, max_gap_days, max_abs_dL, and outlier_ratio (max_abs_dL / robust SD). Printed as a formatted report.

Details

The checks:

  • Coverage — observations, span, median spacing, missing values, share outside the clipping bounds.

  • Staleness — share of zero increments and the longest run of unchanged quotes; long stale runs depress \(\widehat A\).

  • Tick size — smallest non-zero price move; on a coarse tick grid the logit of small-probability quotes moves in lumps (microstructure noise; compare ec_signature()).

  • Gaps — increments spanning more than 1.5 times the median spacing (see event_clock()).

  • Outliers — largest absolute log-odds increment relative to the robust scale of all increments; values far above the truncation threshold deserve a manual look (data error vs. genuine news).

Functions

  • print(ec_validation): Print method; formatted report.

Examples

ec_validate(as_event_prices(brexit2016, time = "date", price = "q_leave"))
#> -- Event-price data-quality report
#> Coverage:  119 obs, 2016-02-26 to 2016-06-23, median spacing 1 days, 0 NA
#> Clipping:  0.0% of observations outside the clipping bounds
#> Staleness: 11.0% zero increments, longest stale run 2 obs
#> Tick:      smallest non-zero move 0.001
#> Gaps:      0 gap increment(s), largest 1 days
#> Outliers:  max |dL| = 0.292 (5.5 robust SDs)