Numerical differentiation in noisy environment is revised through an algebraic approach. For each given order, an explicit formula yielding a pointwise derivative estimation is derived, using elementary differential algebraic operations. These expressions are composed of iterated integrals of the noisy observation signal. We show in particular that the introduction of delayed estimates affords significant improvement. An implementation in terms of a classical finite impulse response (FIR) digital filter is given. Several simulation results are presented.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.