Optimal differentiation based on stochastic signal models

  title={Optimal differentiation based on stochastic signal models},
  author={Bengt Carlsson and Anders Ahl{\'e}n and Mikael Sternad},
  journal={IEEE Trans. Signal Processing},
The problem of estimating the time derivative of a signal from sampled measurements is addressed. The measurements may be corrupted by coloured noise. A key idea is to use stochastic models of the signal to be diierentiated and of the measurement noise. Two approaches are suggested. The rst is based on a continuous-time stochastic process as model of the signal. The second approach uses a discrete-time ARMA model of the signal and a discrete-time approximation of the derivative operator. The… CONTINUE READING
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