fillts

Fill missing values in time series

fillts is not recommended. Use timetable instead. For more information, see Convert Financial Time Series Objects fints to Timetables.

Syntax

newfts = fillts(oldfts,fillmethod)

newfts = fillts(oldfts,fillmethod,newdates)

newfts = fillts(oldfts,fillmethod,newdates,newtimes)

newfts = fillts(___,delta,sortmode)

Description

newfts = fillts(oldfts,fillmethod) replaces missing values (represented by NaN) in the financial time series object oldfts with real values, using either a constant or the interpolation process indicated by fillmethod.

newfts = fillts(oldfts,fillmethod,newdates) replaces all the missing values on the specified dates newdates added to the financial time series oldfts with new values. The values can be a single constant or values obtained through the interpolation process designated by fillmethod. If any of the dates in newdates exists in oldfts, the existing one has precedence.

newfts = fillts(oldfts,fillmethod,newdates,newtimes) additionally allows the designation of specific times of day for addition or replacement of data.

newfts = fillts(___,delta,sortmode) adds a spanning time interval, delta and sortmode denotes whether you want the order of the dates in the output object to stay the same as in the input object or to be sorted chronologically.

Examples

Fill Missing Values in Time Series for Financial Time Series Object

1. Create a financial time series object with missing data in the fourth and fifth rows.

   dates = ['01-Jan-2001';'01-Jan-2001'; '02-Jan-2001';...
            '02-Jan-2001'; '03-Jan-2001';'03-Jan-2001'];
   times = ['11:00';'12:00';'11:00';'12:00';'11:00';'12:00'];
   dates_times = cellstr([dates, repmat(' ',size(dates,1),1),... 
                          times]);
   OpenFts = fints(dates_times,[(1:3)'; nan; nan; 6],{'Data1'},1,... 
   'Open Financial Time Series')
   

   OpenFts looks like this:

   Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints (line 169) 
    
   OpenFts = 
    
       desc:  Open Financial Time Series
       freq:  Daily (1)
   
       {'dates:  (6)'}    {'times:  (6)'}    {'Data1:  (6)'}
       {'01-Jan-2001'}    {'11:00'      }    {[          1]}
       {'     "     '}    {'12:00'      }    {[          2]}
       {'02-Jan-2001'}    {'11:00'      }    {[          3]}
       {'     "     '}    {'12:00'      }    {[        NaN]}
       {'03-Jan-2001'}    {'11:00'      }    {[        NaN]}
       {'     "     '}    {'12:00'      }    {[          6]}

2. Fill the missing data in OpenFts using cubic interpolation.

   FilledFts = fillts(OpenFts,'cubic')

   Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints/fillts (line 217) 
    
   FilledFts = 
    
       desc:  Filled Open Financial Time Series
       freq:  Unknown (0)
   
       {'dates:  (6)'}    {'times:  (6)'}    {'Data1:  (6)'}
       {'01-Jan-2001'}    {'11:00'      }    {[          1]}
       {'     "     '}    {'12:00'      }    {[          2]}
       {'02-Jan-2001'}    {'11:00'      }    {[          3]}
       {'     "     '}    {'12:00'      }    {[     3.0663]}
       {'03-Jan-2001'}    {'11:00'      }    {[     5.8411]}
       {'     "     '}    {'12:00'      }    {[          6]}

Fill Missing Values for Specific Time for Time Series for Financial Time Series Object

1. Create a financial time series object with missing data in the fourth and fifth rows.

   dates = ['01-Jan-2001';'01-Jan-2001'; '02-Jan-2001';...
            '02-Jan-2001'; '03-Jan-2001';'03-Jan-2001'];
   times = ['11:00';'12:00';'11:00';'12:00';'11:00';'12:00'];
   dates_times = cellstr([dates, repmat(' ',size(dates,1),1),... 
                          times]);
   OpenFts = fints(dates_times,[(1:3)'; nan; nan; 6],{'Data1'},1,... 
   'Open Financial Time Series')
   

   OpenFts looks like this:

   Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints (line 169) 
    
   OpenFts = 
    
       desc:  Open Financial Time Series
       freq:  Daily (1)
   
       {'dates:  (6)'}    {'times:  (6)'}    {'Data1:  (6)'}
       {'01-Jan-2001'}    {'11:00'      }    {[          1]}
       {'     "     '}    {'12:00'      }    {[          2]}
       {'02-Jan-2001'}    {'11:00'      }    {[          3]}
       {'     "     '}    {'12:00'      }    {[        NaN]}
       {'03-Jan-2001'}    {'11:00'      }    {[        NaN]}
       {'     "     '}    {'12:00'      }    {[          6]}

2. Use fillts to identify a specific time on a specific day for the replacement of missing data. This example shows how to replace missing data at 12:00 on January 2 and 11:00 on January 3.

   FilltimeFts = fillts(OpenFts,'c',... 
   {'02-Jan-2001';'03-Jan-2001'}, {'12:00';'11:00'},0)

   Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints/fillts (line 217) 
    
   FilltimeFts = 
    
       desc:  Filled Open Financial Time Series
       freq:  Unknown (0)
   
       {'dates:  (6)'}    {'times:  (6)'}    {'Data1:  (6)'}
       {'01-Jan-2001'}    {'11:00'      }    {[          1]}
       {'     "     '}    {'12:00'      }    {[          2]}
       {'02-Jan-2001'}    {'11:00'      }    {[          3]}
       {'     "     '}    {'12:00'      }    {[     3.0663]}
       {'03-Jan-2001'}    {'11:00'      }    {[     5.8411]}
       {'     "     '}    {'12:00'      }    {[          6]}

Spanning time interval to Fill Time Series for Financial Time Series Object

1. Create a financial time series object with missing data in the fourth and fifth rows.

   dates = ['01-Jan-2001';'01-Jan-2001'; '02-Jan-2001';...
            '02-Jan-2001'; '03-Jan-2001';'03-Jan-2001'];
   times = ['11:00';'12:00';'11:00';'12:00';'11:00';'12:00'];
   dates_times = cellstr([dates, repmat(' ',size(dates,1),1),... 
                          times]);
   OpenFts = fints(dates_times,[(1:3)'; nan; nan; 6],{'Data1'},1,... 
   'Open Financial Time Series')
   

   OpenFts looks like this:

   Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints (line 169) 
    
   OpenFts = 
    
       desc:  Open Financial Time Series
       freq:  Daily (1)
   
       {'dates:  (6)'}    {'times:  (6)'}    {'Data1:  (6)'}
       {'01-Jan-2001'}    {'11:00'      }    {[          1]}
       {'     "     '}    {'12:00'      }    {[          2]}
       {'02-Jan-2001'}    {'11:00'      }    {[          3]}
       {'     "     '}    {'12:00'      }    {[        NaN]}
       {'03-Jan-2001'}    {'11:00'      }    {[        NaN]}
       {'     "     '}    {'12:00'      }    {[          6]}

2. Use a spanning time interval to add an additional day to OpenFts.

   SpanFts = fillts(OpenFts,'c','04-Jan-2001','span',... 
                  {'11:00';'12:00'},60,0)

   Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see Convert Financial Time Series Objects (fints) to Timetables. 
   > In fints/fillts (line 217) 
    
   SpanFts = 
    
       desc:  Filled Open Financial Time Series
       freq:  Unknown (0)
   
       {'dates:  (8)'}    {'times:  (8)'}    {'Data1:  (8)'}
       {'01-Jan-2001'}    {'11:00'      }    {[          1]}
       {'     "     '}    {'12:00'      }    {[          2]}
       {'02-Jan-2001'}    {'11:00'      }    {[          3]}
       {'     "     '}    {'12:00'      }    {[     3.0663]}
       {'03-Jan-2001'}    {'11:00'      }    {[     5.8411]}
       {'     "     '}    {'12:00'      }    {[          6]}
       {'04-Jan-2001'}    {'11:00'      }    {[     9.8404]}
       {'     "     '}    {'12:00'      }    {[     9.9994]}

Input Arguments

oldfts — Financial time series object

fints object

Financial time series object, specified as a fints object.

Data Types: object

fillmethod — Valid fill methods

'linear' (default) | character vector

Valid fill methods (interpolation methods), specified as a character vector.

• 'linear' — linear

• 'linearExtrap' — linear with extrapolation

• 'cubic' — cubic

• 'cubicExtrap' — cubic with extrapolation

• 'spline' — spline

• 'splineExtrap' — spline with extrapolation

• 'nearest' — nearest

• 'nearestExtrap' — nearest with extrapolation

• 'pchip' — pchip

• 'pchipExtrap' — pchip with extrapolation

(See interp1 for a discussion of extrapolation.)

To fill with a constant, enter that constant.

A zero-order hold ('zero') fills a missing value with the value immediately preceding it. If the first value in the time series is missing, it remains a NaN.

Data Types: char

newdates — Dates

column vector | date character vector | cell array of date character vectors

Dates, specified as a column vector of serial date numbers, a date character vector, or a column cell array of date character vector. If oldfts contains time of day information, newdates must be accompanied by a time vector (newtimes). Otherwise, newdates is assumed to have times of '00:00'.

If you specify only one date for newdates, specifying a start and end time generates only times for that specific date.

Data Types: double | cell | char

newtimes — Times

date character vector | cell array of date character vectors

Times, specified as a date character vector or a column cell array of date character vector. If oldfts contains time of day information, newdates must be accompanied by a time vector (newtimes). Otherwise, newdates is assumed to have times of '00:00'.

If you specify only one date for newdates, specifying a start and end time generates only times for that specific date.

Data Types: char | cell

delta — Time interval in minutes

positive integer

Time interval in minutes, specified as a positive integer. delta is the span between the start time and end time.

Data Types: double

sortmode — Sort mode

0 (unsorted) (default) | integer with value 0 or 1

Sort mode, specified as a an integer where 0 is unsorted and 1 is sorted.

• 0 — Unsorted, appends any new dates to the end. The interpolation and zero-order processes that calculate the values for the new dates work on a sorted object. Upon completion, the existing dates are reordered as they were originally, and the new dates are appended to the end.

• 1 — Sorts the output. After interpolation, no reordering of the date sequence occurs.

Data Types: double

Output Arguments

newfts — Financial time series object

fints object

Financial time series object, specified as a fints object.

Data Types: object

Version History

Introduced before R2006a