derivative

Numerical differentiation of noisy time series data in python

An example of numerical differentiation of noisy time series data.

Measurements of the signal \(x(t) = -t + \sin(2 \pi t - 2)^2 + 20 |t|\) taken from time -1 to 1 with additive gaussian noise (mean 0, variance 1). Finite difference methods are not sufficient for accurate derivatives, but trend-filtered differentiation can help!

Numerical differentiation methods for noisy time series data in python includes:

from derivative import dxdt
import numpy as np

t = np.linspace(0,2*np.pi,50)
x = np.sin(x)

# 1. Finite differences with central differencing using 3 points.
result1 = dxdt(x, t, kind="finite_difference", k=1)

# 2. Savitzky-Golay using cubic polynomials to fit in a centered window of length 1
result2 = dxdt(x, t, kind="savitzky_golay", left=.5, right=.5, order=3)

# 3. Spectral derivative
result3 = dxdt(x, t, kind="spectral")

# 4. Spline derivative with smoothing set to 0.01
result4 = dxdt(x, t, kind="spline", s=1e-2)

# 5. Total variational derivative with regularization set to 0.01
result5 = dxdt(x, t, kind="trend_filtered", order=0, alpha=1e-2)
  1. Symmetric finite difference schemes using arbitrary window size.

  2. Savitzky-Galoy derivatives of any polynomial order with independent left and right window parameters.

  3. Spectral derivatives with optional filter.

  4. Spline derivatives of any order.

  5. Polynomial-trend-filtered derivatives generalizing methods like total variational derivatives.

The goal of this package is to provide some common numerical differentiation techniques that showcase improvements that can be made on finite differences when data is noisy.

This package binds these common differentiation methods to a single easily implemented differentiation interface to encourage user adaptation.

References:

[1] Numerical differentiation of experimental data: local versus global methods- K. Ahnert and M. Abel

[2] Numerical Differentiation of Noisy, Nonsmooth Data- Rick Chartrand

[3] The Solution Path of the Generalized LASSO- R.J. Tibshirani and J. Taylor

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