Replace NaN’s in NumPy array with closest non-NaN value

As an alternate solution (this will linearly interpolate for arrays NaNs in the middle, as well):

import numpy as np

# Generate data...
data = np.random.random(10)
data[:2] = np.nan
data[-1] = np.nan
data[4:6] = np.nan

print data

# Fill in NaN's...
mask = np.isnan(data)
data[mask] = np.interp(np.flatnonzero(mask), np.flatnonzero(~mask), data[~mask])

print data

This yields:

[        nan         nan  0.31619306  0.25818765         nan         nan
  0.27410025  0.23347532  0.02418698         nan]

[ 0.31619306  0.31619306  0.31619306  0.25818765  0.26349185  0.26879605
  0.27410025  0.23347532  0.02418698  0.02418698]