replace NULL values with latest non-NULL value in resultset series (SQL Server 2008 R2)

You can try the following:

* Updated **

-- Test Data
DECLARE @YourTable TABLE(Product INT, Timestamp DATETIME, Price NUMERIC(16,4))

INSERT INTO @YourTable
SELECT 5678, '20080101 12:00:00', 12.34
UNION ALL
SELECT 5678, '20080101 12:01:00', NULL
UNION ALL
SELECT 5678, '20080101 12:02:00', NULL
UNION ALL
SELECT 5678, '20080101 12:03:00', 23.45
UNION ALL
SELECT 5678, '20080101 12:04:00', NULL

;WITH CTE AS
(
    SELECT *
    FROM @YourTable
)

-- Query
SELECT A.Product, A.Timestamp, ISNULL(A.Price,B.Price) Price
FROM CTE A
OUTER APPLY (   SELECT TOP 1 *
                FROM CTE 
                WHERE Product = A.Product AND Timestamp < A.Timestamp
                AND Price IS NOT NULL
                ORDER BY Product, Timestamp DESC) B

--Results
Product Timestamp   Price
5678    2008-01-01 12:00:00.000 12.3400
5678    2008-01-01 12:01:00.000 12.3400
5678    2008-01-01 12:02:00.000 12.3400
5678    2008-01-01 12:03:00.000 23.4500
5678    2008-01-01 12:04:00.000 23.4500

I have a table containing the following data. I want to update all nulls in salary columns with previous value without taking null value.

Table:

id  name    salary
1   A       4000
2   B   
3   C   
4   C   
5   D       2000
6   E   
7   E   
8   F       1000
9   G       2000
10  G       3000
11  G       5000
12  G   

here is the query that works for me.

select a.*,first_value(a.salary)over(partition by a.value order by a.id) as abc from
(
     select *,sum(case when salary is null then 0 else 1 end)over(order by id) as value from test)a

output:

id  name    salary  Value   abc
1   A       4000    1     4000
2   B               1     4000
3   C               1     4000
4   C               1     4000
5   D       2000    2     2000
6   E               2     2000
7   E               2     2000
8   F       1000    3     1000
9   G       2000    4     2000
10  G       3000    5     3000
11  G       5000    6     5000
12  G               6     5000

Try this:

;WITH SortedData AS
(
    SELECT
       ProductID, TimeStamp, Price,
       ROW_NUMBER() OVER(PARTITION BY ProductID ORDER BY TimeStamp DESC) AS 'RowNum'
    FROM dbo.YourTable
)
UPDATE SortedData
SET Price = (SELECT TOP 1 Price 
             FROM SortedData sd2
         WHERE sd2.RowNum > SortedData.RowNum 
           AND sd2.Price IS NOT NULL)
WHERE
    SortedData.Price IS NULL

Basically, the CTE creates a list sorted by timestamp (descending) - the newest first. Whenever a NULL is found, the next row that contains a NOT NULL price will be found and that value is used to update the row with the NULL price.