Date: Jan 29, 2013 12:18 PM
Author: Giorgio Monti
Subject: How to fill missing data in excel time series - Matlab


I need a hand on this problem: In an Excel workbook I reported 10 time series (with monthly frequency) of 10 titles that should cover the past 15 years. Unfortunately, not all titles can cover the 15-year time series. For example, a title only goes up to 2003; So in the column of that title, I have the first 5 years with a "Not Available" instead of a value. Once I?have imported the data into Matlab, obviously, in the column of the title with the shorter series appears NaN where there are no values.

Prices xlsread = ('PrezziTitoli.xls')


% Name Size Bytes Class Attributes % Prices 182x10% 6360 double

My goal is to estimate the variance-covariance matrix, however, because of the lack of data, the calculation is not possible for me. I thought to an interpolation, before the calculation of the variance-covariance matrix, to cover the values that in Matlab return NaN, for example with a "fillts", but have difficulties in its use.

There is some code that can be useful to me? Can you help me?