{
  "id": "1103.0652",
  "version": "v1",
  "published": "2011-03-03T11:05:21.000Z",
  "updated": "2011-03-03T11:05:21.000Z",
  "title": "Error analysis of a class of derivative estimators for noisy signals",
  "authors": [
    "Da-Yan Liu",
    "Olivier Gibaru",
    "Wilfrid Perruquetti"
  ],
  "journal": "Numerical Algorithms (2011)",
  "categories": [
    "math.NA"
  ],
  "abstract": "Recent algebraic parametric estimation techniques led to point-wise derivative estimates by using only the iterated integral of a noisy observation signal. In this paper, we extend such differentiation methods by providing a larger choice of parameters in these integrals: they can be reals. For this the extension is done via a truncated Jacobi orthogonal series expansion. Then, the noise error contribution of these derivative estimations is investigated: after proving the existence of such integral with a stochastic process noise, their statistical properties (mean value, variance and covariance) are analyzed. In particular, the following important results are obtained: a) the bias error term, due to the truncation, can be reduced by tuning the parameters, b) such estimators can cope with a large class of noises for which the mean and covariance are polynomials in time (with degree smaller than the order of derivative to be estimated), c) the variance of the noise error is shown to be smaller in the case of negative real parameters than it was for integer values. Consequently, these derivative estimations can be improved by tuning the parameters according to the here obtained knowledge of the parameters' influence on the error bounds.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2011-03-03T11:05:21.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "error analysis",
      "noisy signals",
      "derivative estimators",
      "parametric estimation techniques",
      "parameters"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1103.0652L"
    }
  }
}