I am interested in using natural cubic splines to generate possible replacement values in the quality control of data. I would like to do this as close to real-time as I can. That is, I would like to use only one point (todays value) on the right of the value I wish to predict (yesterdays value) and more points (the past) on the left. My question is: How far in the past should I go? I know that a natural cubic spline does take into account every data point that you feed it. I just wonder how sensitive it is to say, 40 points versus, maybe 15 or 20 when the point I am evaluating at is so far to the "right".
If anybody has knowledge of this or could at least point me to further reading, I would appreciate it. Thanks.