Hi I have a collection of about 16 time series with occasional missing data. A few of these time-series start later than the rest. There is a relatively high correlation between them (they are hourly temps at various locations around the UK). The longest series contains about 40000 points I have constructed each time series into a zoo object and then merged each of these objects in to one (zoo is great!). Using na.approx I can interpolate through a single column for the occasional missing data. Now I would like to cross interpolate those series which start later than the rest. I thought of reducing the collated zoo object down to a time span where all columns where defined, then calculating a correlation matrix. Then taking this matrix back to the larger collated zoo object and then interpolating the missing values based on the correlations I have found. I'm assuming correlation is stationary year to year. Has anybody tried anything like this? Is a function out there that could help? Thanks Sean