Assessing Statistical Performance of Time Series Interpolators †

Abstract

Real-world time series data often contain missing values due to human error, irregular sampling, or unforeseen equipment failure. The ability of a computational interpolation method to repair such data greatly depends on the characteristics of the time series itself, such as the number of periodic and polynomial trends and noise structure, as well as the particular configuration of the missing values themselves. The interpTools package presents a systematic framework for analyzing the statistical performance of a time series interpolator in light of such data features. Its utility and features are demonstrated through evaluation of a novel algorithm, the Hybrid Wiener Interpolator.