A perfect smoother.
The well-known and popular Savitzky-Golay filter has several disadvantages. A very attractive alternative is a smoother based on penalized least squares, extending ideas presented by Whittaker 80 years ago. This smoother is extremely fast, gives continuous control over smoothness, interpolates automatically, and allows fast leave-one-out cross-validation. It can be programmed in a few lines of Matlab code. Theory, implementation, and applications are presented.
Department of Medical Statistics, Leiden University Medical Centre, P.O. Box 9604, 2300 RC Leiden, The Netherlands. p.eilers@lumc.nl
Paul H C
PH
Eilers