[R-SIG-Finance] interpolating missing values from a TS

[Gabor Grothendieck]

Try this (time series with values of 2, NA , etc. at indicated times
(1, 3, etc.) which has NAs removed by linear approx:

> library(zoo)
> z <- zoo(c(2,NA,1,4,5,2), c(1,3,4,6,7,8))
> na.approx(z)
       1        3        4        6        7        8
2.000000 1.333333 1.000000 4.000000 5.000000 2.000000

zoo has otherl na.* routines too.  They work the same way.  You just
give them the series and the NAs are filled in as in the example
above.

na.approx - linear approximation to NAs
na.contiguous - only keep portion of series with no NAs
na.locf - fill NAs from last non-NA
na.omit - remove NAs
na.spline - spline approximation to NAs
na.trim - remove NAs at ends

And also in the stinepack package:

na.stinterp - use Stineman approxmation to remove NAs

See ?na.approx for a few more examples.

On Wed, Oct 7, 2009 at 5:23 AM, Aleks Clark <aleks.clark at gmail.com> wrote:
> I've got a large TS with occasional NAs I'd like to roughly
> interpolate, I'm currently doing this but it's pretty slow:
>
>        lapply(1:nrow(delta), function(i) {
>                lapply(1:ncol(delta), function(j) {
>                        if (is.na(delta[i,j])) {
>                                if ((i==1)||is.na(delta[i-1,j])) {
>                                  delta[i,j] <- delta[i+1,j]
>                                } else { delta[i,j] <- delta[i-1,j]}
>                        }
>                })
>        })
>
> any ideas for a better solution?
>
>
> --
> Aleks Clark
>
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