n nearest non NaN values

I have a long time series (T= 150,000) with some NaN values in it, and I need to perform a regression using a rolling window.

That is, at each time t, I need to regress the past 60 non-NaN values on some other vectors of size (60,1). How can I extract the 60 non-NaN values closest (in the past) to t?

For example, if

A = [30 12 14 NaN 2 5 NaN 90 2 4 5 6 2 2 78 45 12 NaN 4];

and, for each t I need at least 4 past non-NaN values, the first regression I will perform will be at t=5, and will have Y = [30 12 14 2], the second regression will be at t=6, and will have Y = [12 14 2 5], and so on

Answer 1

[Rik]

You can use fillmissing:

B=fillmissing(A,'nearest');%replace NaN with nearest non-NaN value