Calculations were carried out at the Academic Computer Centre in Gdańsk.
Supplementary material for the paper
"Application of regularized Savitzky-Golay filters to
identification of time-varying systems"
Maciej Niedźwiecki, Marcin Ciołek, Artur Gańcza, and Piotr Kaczmarek
ABSTRACT
Savitzky-Golay (SG) filtering is a classical signal smoothing technique based on the local least squares approximation of the
analyzed signal by a linear combination of known functions of time (originally – powers of time, which corresponds to polynomial approximation). It is shown that the regularized version of the SG algorithm can be successfully applied to identification of time-varying finite impulse response (FIR) systems. Such a solution is possible owing to the recently proposed preestimation technique, which converts the problem of identification of a time-varying FIR system into the problem of smoothing of the appropriately generated preestimates of system parameters. The resulting fast regularized local basis function estimators, optimized using the empirical Bayesian approach, have very good parameter tracking capabilities, favorably comparing with the state of the art in terms of accuracy, computational complexity, and numerical robustness.
All computations were made in Matlab R2019b (9.7.0.1190202), license number: 68140, the Matlab code is available here.
