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Snow depth is an important geophysical variable for investigating sea ice and climate change, which can be obtained from satellite data. However, there is a large number of missing data in satellite observations of snow depth. In this study, a methodology, the periodic functions fitting with varying parameter (PFF-VP), is presented to fit the time series of snow depth on Arctic sea ice obtained from the Advanced Microwave Scanning Radiometer for Earth Observing System (AMSR-E). The time-varying parameters are obtained by the independent point (IP) scheme and cubic spline interpolation. The PPF-VP is validated by experiments in which part of the observations are artificially removed and used to compare with the fitting results. Results indicate that the PPF-VP performs better than three traditional fitting methods, with its fitting results closer to observations and with smaller errors. In the practical experiments, the optimal number of IPs can be determined by only considering the fraction of missing data, particularly the length of the longest gaps in the snow-depth time series. All the experimental results indicate that the PPF-VP is a feasible and effective method to fit the time series of snow depth and can provide continuous data of snow depth for further study.