Say you've got a quotations of some equity that miss some data points.
You may want to have them reconstructed for example for pairs trading.
What do you do then?
Chart: example of VAR reconstruction of missing data
I've preliminary tested a number of potential methods from simple mean to Dynamic Linear Models to Random Forest.
Performance varies, but for the moment three reconstruction methods seems to lead the pack: simple mean, some Dynamic Linear Model and Vector Autoregression.
Chart: comparison of various reconstruction methods for one case