fillNA {sparseDFM}

Interpolation of missing data

Description

Internal missing data is filled in using a cubic spline. Start and end of sample missing data is filled in using the median of the series and then smoothed with an MA(3) process.

Usage

fillNA(X)

Arguments

X

n x p numeric matrix of stationary and standardized time series

Value

X n \times p numeric matrix with missing data interpolated

idx.na n \times p logical matrix with TRUE if missing and FALSE otherwise.