Cubic spline extrapolation

plot interpolation spline graphing extrapolation
Mike Trader picture Mike Trader · May 19, 2009 · Viewed 21.8k times · Source

I have a nice cubic spline code but it is for interpolation only. I need to extrapolate just a little into the future. Does anyone know of a good source of code, not a library, for doing this?

This is the code I wrote in basic (now ASM) for interpolation.

Answer

Daniel Rikowski picture Daniel Rikowski · May 19, 2009

You don't need new code for that.

To extrapolate the spline you can extrapolate the parameters of the first and last spline.

Depending on your existing code/library that might not be possible without modifying the code. In that case just prepend/append two other points to the beginning/end of your list of points. You can get those two points by linearily interpolating between the first/last two points.

Be careful: Depending on the original meaning of the points that extrapolation might be completely inappropriate, especially when it comes to statistical data. In that case you should consider using regression analysis.

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