Friday, October 2, 2009

stable differentiation

found disappointingly little online about good numerical differentiation algorithms. the only thing i can think of is savitzky-golay filtering. scipy has a cookbook recipe, procoders has a page, and there's a krufty package out there i might steal from. i tried filtering a time series with a 3rd order butterworth before doing a simple central difference, and it made some huge errors at the beginning. i hope the s-g filter works better.

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