Time-domain analysis of the Savitzky-Golay filters

Authors:
Quan Quan;Kai-Yuan Cai
Affiliations:
Department of Automatic Control, Beihang University, Beijing 100191, China and State Key Laboratory of Virtual Reality Technology and Systems, Beihang University, Beijing 100191, China;Department of Automatic Control, Beihang University, Beijing 100191, China
Venue:
Digital Signal Processing
Year:
2012

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Abstract

This paper proposes a time-domain method to analyze the estimation performance of Savitzky-Golay (SG) filters, which includes estimation performance of SG smoothing filters and SG differentiation filters. An estimation error bound is given and its qualitative properties are analyzed. Statistical properties of the estimation error in the presence of random noise are analyzed as well.