Python pandas time series interpolation and regularization

Question

I am using Python Pandas for the first time. I have 5-min lag traffic data in csv format:

...
2015-01-04 08:29:05,271238
2015-01-04 08:34:05,329285
2015-01-04 08:39:05,-1
2015-01-04 08:44:05,260260
2015-01-04 08:49:05,263711
...

There are several issues:

• for some timestamps there's missing data (-1)
• missing entries (also 2/3 consecutive hours)
• the frequency of the observations is not exactly 5 minutes, but actually loses some seconds once in a while

I would like to obtain a regular time series, so with entries every (exactly) 5 minutes (and no missing valus). I have successfully interpolated the time series with the following code to approximate the -1 values with this code:

ts = pd.TimeSeries(values, index=timestamps)
ts.interpolate(method='cubic', downcast='infer')

How can I both interpolate and regularize the frequency of the observations? Thank you all for the help.

Answer 1

Change the -1s to NaNs:

ts[ts==-1] = np.nan

Then resample the data to have a 5 minute frequency.

ts = ts.resample('5T')

Note that, by default, if two measurements fall within the same 5 minute period, resample averages the values together.

Finally, you could linearly interpolate the time series according to the time:

ts = ts.interpolate(method='time')

---

Since it looks like your data already has roughly a 5-minute frequency, you might need to resample at a shorter frequency so cubic or spline interpolation can smooth out the curve:

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt

values = [271238, 329285, -1, 260260, 263711]
timestamps = pd.to_datetime(['2015-01-04 08:29:05',
                             '2015-01-04 08:34:05',
                             '2015-01-04 08:39:05',
                             '2015-01-04 08:44:05',
                             '2015-01-04 08:49:05'])

ts = pd.Series(values, index=timestamps)
ts[ts==-1] = np.nan
ts = ts.resample('T').mean()

ts.interpolate(method='spline', order=3).plot()
ts.interpolate(method='time').plot()
lines, labels = plt.gca().get_legend_handles_labels()
labels = ['spline', 'time']
plt.legend(lines, labels, loc='best')
plt.show()