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How to fill missing data in excel time series  Matlab
Posted:
Jan 29, 2013 12:18 PM


Hi,
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 15year 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')
whos
% Name Size Bytes Class Attributes % Prices 182x10% 6360 double
My goal is to estimate the variancecovariance 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 variancecovariance 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?
Thanks!



