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Evaluation of Imputation Methods for Clustering Categorical Time Series on Financial Sector Stock Data Rita Rahmawati; I Made Sumertajaya; Asep Saefuddin; Kusman Sadik
Journal of Mathematics, Computations and Statistics Vol. 9 No. 2 (2026): Volume 09 Issue 02 (June 2026)
Publisher : Jurusan Matematika FMIPA UNM

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35580/t5pe8v78

Abstract

Missing values in financial time series data can affect the information structure of the data and impact the clustering results obtained. This research aims to evaluate the performance of several time series data imputation methods on the quality of categorical time series clustering on financial sector stock data on the Indonesia Stock Exchange. The imputation methods compared include linear interpolation, spline interpolation, and Kalman smoothing. The research data is in the form of daily closing prices of 92 financial sector stocks for the period 2 January 2023 to 31 October 2025. Numerical clustering was carried out using K-Means Time Series based on Dynamic Time Warping (DTW), while categorical clustering was carried out using K-Medoids with the Gower distance measure in two categorization schemes, namely five and seven categories. Evaluation of suitability between numerical and categorical clustering was carried out using the Rand Index (RI), Fowlkes–Mallows Index (FMI), and Jaccard Index. The research results show that the imputation method produces different clustering qualities. Linear interpolation provides the best and most consistent performance compared to other methods, especially in the seven-category scheme with an RI value of 0.6417, FMI of 0.4338, and Jaccard Index of 0.3256. These results show that linear interpolation is better able to maintain the information structure of the data in the categorical time series clustering process compared to spline interpolation or Kalman smoothing.
Co-Authors A Kurnia A. A. Mattjik AA Mattjik Abd. Rasyid Syamsuri Abdu Alifah Abdul Aziz Nurussadad Ade Gusalinda Adelia Putri Pangestika Adiyana, Imam Afendi, Farit M Agus Mohamad Soleh Agustin Faradila Ahmad Anshori Mattjik Ahmad Ansori Matjjik Ahmad Ansori Mattjik Ahmad Ansori Mattjik Aidi, Muhamad Nur Aidi, Muhammad N Aini, Febri Nur Aji Hamim Wigena Akbar Rizki Alfian Futuhul Hadi Alwani, Nadira Nisa Amanda Permata Dewi Anang Kurnia Andi Setiawan Andina Fahriya Andrew Donda Munthe Anggraini Sukmawati Anggriyani, Indah Ratih Anik Djuraidah Arina, Faula Aropah, Vina Da'watul Aropah, Vina Da’watul ASEP SAEFUDDIN Astari, Reka Agustia Azagi, Ilham Alifa Azis, Irfani Bagus Sartono Budi Susetyo Choiriyah, Evita Choirun Nisa CHOIRUN NISA Chrisinta, Debora Cici Suhaeni Cynthia Wulandari Dede Dirgahayu Domiri Dede Dirgahayu Domiri, Dede Dirgahayu Dian Kusumaningrum Dian Kusumaningrum Diki Akhwan Mulya Doni Suhartono Dwi Agustin Nuriani Sirodj Dwi Yulianti Embay Rohaeti Emeylia Safitri Erfiani Erfiani Erfiani Erfiani, Erfiani Erwina Erwina Evita Choiriyah Fadhlia, Sarah Fadilah, Anggita Rizky FAHREZAL ZUBEDI Faqih Udin dan Jono M. Munandar Meivita Amelia Faradila, Agustin Farit M Afendi Farit Mochamad Afendi Fitria Hasanah Fitrianto, Anwar Halimatus Sa'diyah Hari Wijayanto Haryastuti, Rizqi Hengki Muradi Hidayat, Agus Sofian Eka Hilda Zaikarina Huda, Usep Firdaus Humairoh, Andi Zahira Al I Gede Nyoman Mindra Jaya IJSA, Indonesian Journal of Statistics and Its Applications Ilma Nabila Ilmani, Erdanisa Aghnia Imam Adiyana Indahwati Indonesian Journal of Statistics and Its Applications IJSA Iqbal, Teuku Achmad Irfani Azis Irfani Azis Ismah, Ismah Isti Rochayati Itasia Dina Sulvianti Jamaluddin Rabbani Harahap Jasiulewicz, Anna Khairil Anwar Notodiputro Kurnia, A Kusdaniyama, Nunung Kusman Sadik Laradea Marifni Lestari P, Merryanty Linda Sakinah M Afendi, Farit M. Syamsul Maarif Ma'mun Sarma Manuel Leonard Sirait Manuel Leonard Sirait Manuel Leonard Sirait Mattjik, AA Maulida, Annisaturrahmah Mega Pradita Pangestika Meilania, Gusti Tasya Merryanty Lestari P Mintarto Mundandar, Jono Muhamad Nur Aidi Muhammad Amirullah Yusuf Albasia Muhammad N Aidi Muhammad Nur Aidi Muhammad Ulinnuha Mulianto Raharjo Munanda, Jono Mintarto Munthe, Andrew Donda Muradi, Hengki Newton Newton Newton, Newton Nina Valentika Ningsih, Wiwik Andriyani Lestari Noercahyo, Unggul Sentanu Novi Hidayat Pusponegoro Nunung Kusdaniyama Nunung Kusdaniyama Nur Hikmah Nurlia Eka Damayanti Nurpadilah, Winda Nurus Sabani Pasaribu, Sahat M. Pepi Novianti Pika Silvianti Pratiwi, Windy Ayu Pratiwi, Windy Ayu Pudji Muljono Purwaningsih, Siti Samsiyah Puspasari, Novia Rahardiantoro, Septian Rahma Anisa Rahma Anisa Rhesa Adisty, Mohamad Risnawati, I'lmisukma Rita Rahmawati Rizqi Haryastuti Rochayati, Isti Sahat M. Pasaribu Sarah Fadhlia Sarma, Ma’mun Satria Yudha Herawan SATRIYAS ILYAS Setyono Setyono Setyono Sirait, Manuel Leonard Siti Samsiyah Purwaningsih Sri Surjani Tjahjawati Suhaeni, Cici Sunardi Sunardi Sunardi Suruddin, Adzkar Adlu Hasyr Sutomo, Valantino A Syafitri, Utami Syella Sumampouw Tsabitah, Dhiya Tsabitah, Dhiya Ulayya Ulfah Sulistyowati Ulfah Sulistyowati Ulinnuha, Muhammad Utami Dyah Syafitri Valantino A Sutomo Valentika, Nina Wibowo, Dwi Yoga Ari Winda Nurpadilah Windi D.Y Putri Wiwik Andriyani Lestari Ningsih Yenni Angraini Yoga, Ibnu Abi Zaikarina, Hilda Zulkarnain, Rizky