derest
This is a code for off-line smoothing and estimation of first and second derivatives of a function from a sequence of noisy measurements, which can be nonequally spaced. The algorithm is automatic: the user does not need to provide smoothing parameters, they are estimated in the code. The signal is modelled as a stationary double-integrated Wiener process and estimates are computed using a Kalman smoother. Theoretical details of the algorithm are presented in https://arxiv.org/abs/1610.04397
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Robert Piche (2024). derest (https://www.mathworks.com/matlabcentral/fileexchange/63925-derest), MATLAB Central File Exchange. Retrieved .
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- Signal Processing > Signal Processing Toolbox > Signal Generation and Preprocessing > Smoothing and Denoising >
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