How do I interpolate two data sets with different time scales and time points into the same scale in order to carry out a correlation?

Hi everybody. I have an issue with a correlation i would like to complete. I have one data set, with 11 dates, and 11 numbers for those dates. I then have another data set, with 2555 dates (within the same time scale however) and 2555 numbers for these dates. I would like to interpolate the larger data set into to the smaller one, to undertake a correlation between data sets with the same matrix size.

How would I do this?

Many thanks,

Answer 1

[John D'Errico]

1. Convert all of your dates into numeric values. date2num would work here.

2. Use interp1. Choose whatever interpolation method makes you happy.