[R] Interpolating / smoothing missing time series data

[Gabor Grothendieck]

On 9/7/05, David James <djames at frontierassoc.com> wrote:
> The purpose of this email is to ask for pre-built procedures or
> techniques for smoothing and interpolating missing time series data.
> 
> I've made some headway on my problem in my spare time.  I started
> with an irregular time series with lots of missing data.  It even had
> duplicated data.  Thanks to zoo, I've cleaned that up -- now I have a
> regular time series with lots of NA's.
> 
> I want to use a regression model (i.e. ARIMA) to ill in the gaps.  I
> am certainly open to other suggestions, especially if they are easy
> to implement.
> 
> My specific questions:
> 1.  Presumably, once I get ARIMA working, I still have the problem of
> predicting the past missing values -- I've only seen examples of
> predicting into the future.
> 2.  When predicting the past (backcasting), I also want to take
> reasonable steps to make the data look smooth.
> 
> I guess I'm looking for a really good example in a textbook or white
> paper (or just an R guru with some experience in this area) that can
> offer some guidance.
> 
> Venables and Ripley was a great start (Modern Applied Statistics with
> S).  I really had hoped that the "Seasonal ARIMA Models" section on
> page 405 would help.  It was helpful, but only to a point.  I have a
> hunch (based on me crashing arima numerous times -- maybe I'm just
> new to this and doing things that are unreasonable?) that using
> hourly data just does not mesh well with the seasonal arima code?

Not sure if this answers your question but if you are looking for something
simple then na.approx in the zoo package will linearly interpolate for you.

> z <- zoo(c(1,2,NA,4,5))
> na.approx(z)
1 2 3 4 5 
1 2 3 4 5