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andgoldschmidt / derivative

Optimal numerical differentiation of noisy time series data in python.
https://derivative.readthedocs.io/en/latest/
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Wavelet derivatives #3

Closed andgoldschmidt closed 2 years ago

andgoldschmidt commented 4 years ago

Model the data as a sparse linear combination of wavelets and compute the derivative of the wavelet basis.

Might consider using SURE shrinkage from Donoho, D. L. and Johnstone, I. M. for the fit with some modifications to compute derivatives. Other options include skimage or pywavelets packages.