The information integrity is needed to solving socio-economic statistical problems. However, the information integrity is destroyed by missing data which is caused by various subjective and objective reasons. So the missing data interpolation is used to supplement missing data. In this paper, missing data interpolation with variational Bayesian inference is proposed. This method is combined with Gaussian model to approximate the posterior distribution to obtain complete data. The experiments include two datasets (artificial dataset and actual dataset) based on three missing ratios separately. The missing data interpolation performance of variational Bayesian method is compared with that which is obtained by mean interpolation and K-nearest neighbor interpolation methods separately in MSE (Mean Square Error) and MAPE (Mean Absolute Percentage Error). The experimental results show that the proposed variational Bayesian method is better in MSE and MAPE.