Interpolation of time series data

Hi folks, nice site!

I have been wondering about a solution to this for a while, let me explain...

I am retrieving data from different databases, both with a time-series key. I need to somehow merge this data into one table, correlating the different data (for example bandwith and CPU temp). The problem is that the time series' are not exactly the same. One may have a precision of every 2 minutes, the other may only be every 1minute. In this case I will need to interpolate over the missing data in the final table.

Ive done abit of research, I have two main problems, as far as I see...

Linear or Polynomial spline interpolation?! This data is potentially continuous data...

How to implement? Is there a library out there that I am missing that will do all this for me!?

Any input appreciated, many thanks!

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