Utilities for signal processing
Power spectrum
Parameters: | data : array, shape (N,)
rate : float
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Returns: | powerspectrum : array, shape (N,) |
Smooth (and optionally differentiate) data with a Savitzky-Golay filter. The Savitzky-Golay filter removes high frequency noise from data. It has the advantage of preserving the original shape and features of the signal better than other types of filtering approaches, such as moving averages techhniques.
Parameters: | y : array_like, shape (N,) or (N,m)
window_size : int
order : int
deriv : int
rate : sampling rate (in Hz; only used for derivatives) |
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Returns: | ys : ndarray, shape same as y
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Notes
The Savitzky-Golay is a type of low-pass filter, particularly suited for smoothing noisy data. The main idea behind this approach is to make for each point a least-square fit with a polynomial of high order over a odd-sized window centered at the point.
The data at the beginning / end of the sample are deterimined from the best polynomial fit to the first / last datapoints. This makes the code a bit more complicated, but avoids wild artefacts at the beginning and the end.
Cutoff-frequencies For smoothing (deriv=0), the frequency where the amplitude is reduced by 10% is approximately given by:
f_cutoff = sampling_rate / (1.5 * look)
For the first derivative (deriv=1), the frequency where the amplitude is reduced by 10% is approximately given by:
f_cutoff = sampling_rate / (4 * look)
References
[R1] | A. Savitzky, M. J. E. Golay, Smoothing and Differentiation of Data by Simplified Least Squares Procedures. Analytical Chemistry, 1964, 36 (8), pp 1627-1639. |
[R2] | Numerical Recipes 3rd Edition: The Art of Scientific Computing W.H. Press, S.A. Teukolsky, W.T. Vetterling, B.P. Flannery Cambridge University Press ISBN-13: 9780521880688 |
[R3] | Siegmund Brandt, Datenanalyse, pp 435 |
Examples
>>> t = np.linspace(-4, 4, 500)
>>> y = np.exp( -t**2 ) + np.random.normal(0, 0.05, t.shape)
>>> ysg = savgol(y, window_size=31, order=4)
>>> import matplotlib.pyplot as plt
>>> plt.plot(t, y, label='Noisy signal')
>>> plt.plot(t, np.exp(-t**2), 'k', lw=1.5, label='Original signal')
>>> plt.plot(t, ysg, 'r', label='Filtered signal')
>>> plt.legend()
>>> plt.show()