outlier_action

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Axis outlier_action on sub-layer l2_c (layer l2).

Sub-layer

l2_c

Axis metadata

  • Default: 'flag_as_nan'

  • Sweepable: True

  • Status: operational

Operational status summary

  • Operational: 3 option(s)

  • Future: 1 option(s)

Options

flag_as_nan – operational

Replace flagged outliers with NaN; let L2.D imputation fill them.

Default for the McCracken-Ng pipeline. Outliers become missing values, then EM-factor imputation in L2.D recovers a smoothed value from the cross-series factor structure.

When to use

Default. Pairs with em_factor / em_multivariate imputation.

References

  • macroforecast design Part 2, L2: ‘preprocessing is the only layer with a strict A→B→C→D→E execution order; every cell follows the same pipeline.’

  • McCracken & Ng (2016) ‘FRED-MD: A Monthly Database for Macroeconomic Research’, JBES 34(4). (doi:10.1080/07350015.2015.1086655)

Related options: replace_with_median, replace_with_cap_value, keep_with_indicator

Last reviewed 2026-05-04 by macroforecast author.

replace_with_median – operational

Replace flagged outliers with the per-series median.

Simpler than imputation; useful when L2.D is set to none_propagate.

Configures the outlier_action axis on l2_c (layer l2); the replace_with_median value is materialised in the recipe’s fixed_axes block under that sub-layer.

When to use

Studies that want a deterministic, no-imputation outlier handler.

References

  • macroforecast design Part 2, L2: ‘preprocessing is the only layer with a strict A→B→C→D→E execution order; every cell follows the same pipeline.’

Related options: flag_as_nan, replace_with_cap_value

Last reviewed 2026-05-04 by macroforecast author.

replace_with_cap_value – operational

Replace outliers with the cap value (winsorize-style cap).

Caps at the threshold rather than the median. Pairs with the winsorize / iqr policies.

When to use

Bounded-output studies; portfolios with hard limits on extreme values.

References

  • macroforecast design Part 2, L2: ‘preprocessing is the only layer with a strict A→B→C→D→E execution order; every cell follows the same pipeline.’

Related options: flag_as_nan, replace_with_median

Last reviewed 2026-05-04 by macroforecast author.

keep_with_indicator – future

(no schema description for keep_with_indicator)

TBD: option doc not yet authored for this value. The encyclopedia falls back to the bare schema description above. PRs adding a full OptionDoc entry under macroforecast/scaffold/option_docs/l2.py are welcome.