About a year ago, (Fall 2011) I implemented the HANTS algorithm in MATLAB. HANTS originally was developed at NLR (http://gdsc.nlr.nl/gdsc/en/tools/hants) to remove the cloud effects and temporally interpolate data. The program executables under Windows are available free of charge for download from the provided link.
HANTS can be used to remove the outliers, smooth the data set, interpolate the missing data, and to compress the data. The last part, i.e. data compression, was not visioned by the original developers; but anyhow you can use it to do data compression quite efficiently.
For more information on HANTS implementation on MATLAB, it's capabilities to perform data compression, and some outputs you can go to https://mabouali.wordpress.com/projects/harmonic-analysis-of-time-series-hants/.
Recently, I receive more e-mail request for the code. Well, hopefully by uploading it on MATHWORKS, it would be easier to download the code.
Should you have any questions, do not hesitate contacting me.