In addition to using state space method for interpolating the data with the
Kalman filter, for Croston's method or its many variants or the integrated
and realized volatility you might consider some of these methods for interpolating
irregularly spaced time series.
Astronomical Data Analysis Software and Systems IV
ASP Conference Series, Vol. 77, 1995
Book Editors: R. A. Shaw, H. E. Payne, and J. J. E. Hayes
Electronic Editor: H. E. Payne
Interpolation of Irregularly Sampled Data Series---A Survey
H.-M. Adorf
Space Telescope--European Coordinating Facility, European Southern Observatory, Karl-Schwarzschild-Str. 2, D-85748 Garching b. München, Germany
Abstract:
Many astronomical observations, including spectra and time series, consist of irregularly sampled data series, the analysis of which is more complicated than that of regularly spaced data sets. Therefore a viable strategy consists of resampling a given irregularly sampled data series onto a regular grid, in order to use conventional tools for further analysis. Resampling always requires some form of interpolation, which permits the construction of an underlying continuous function representing the discrete data. This contribution surveys the methods used in astronomy for the interpolation of irregularly sampled one-dimensional data series.
There is virtually no literature
on which method does best
with which kind of problem.
--- Julian H. Krolik 1992
