I want to know if someone has some experience working the 'issue' im encountering.
I have a series of arrays, 18, time series on a 14 year period, I want to build a correlation matrix with these data. But I want to check for outliers in each columns, this is done pretty much easily. I do have some outliers on some of the columns. So how i need to tackle the next step? say for example, i need to remove 20 rows in column 2 which accounts for outliers, 50 rows, in column 12. So by definition the whole set of 18 time series, are not of same size anymore, what to do here? Do i need to normalize the rest of the 16 arrays and make them correspond to the common end date of each array in order to do the spearman correlation matrix? I find this solution a bit radical, do you know another one? I use Matlab to do this...
Thank you very much.