python - Savitzky-Golay 过滤器的 Scipy 实现

Question

我正在查看scipy cookbook implementation of the Savitzky-Golay algorithm :

#!python
def savitzky_golay(y, window_size, order, deriv=0, rate=1):
    r"""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 techniques.
    Parameters
    ----------
    y : array_like, shape (N,)
        the values of the time history of the signal.
    window_size : int
        the length of the window. Must be an odd integer number.
    order : int
        the order of the polynomial used in the filtering.
        Must be less then `window_size` - 1.
    deriv: int
        the order of the derivative to compute (default = 0 means only smoothing)
    Returns
    -------
    ys : ndarray, shape (N)
        the smoothed signal (or it's n-th derivative).
    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.
    Examples
    --------
    t = np.linspace(-4, 4, 500)
    y = np.exp( -t**2 ) + np.random.normal(0, 0.05, t.shape)
    ysg = savitzky_golay(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()
    References
    ----------
    .. [1] A. Savitzky, M. J. E. Golay, Smoothing and Differentiation of
       Data by Simplified Least Squares Procedures. Analytical
       Chemistry, 1964, 36 (8), pp 1627-1639.
    .. [2] 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
    """
    import numpy as np
    from math import factorial

    try:
        window_size = np.abs(np.int(window_size))
        order = np.abs(np.int(order))
    except ValueError, msg:
        raise ValueError("window_size and order have to be of type int")
    if window_size % 2 != 1 or window_size < 1:
        raise TypeError("window_size size must be a positive odd number")
    if window_size < order + 2:
        raise TypeError("window_size is too small for the polynomials order")
    order_range = range(order+1)
    half_window = (window_size -1) // 2
    # precompute coefficients
    b = np.mat([[k**i for i in order_range] for k in range(-half_window, half_window+1)])
    m = np.linalg.pinv(b).A[deriv] * rate**deriv * factorial(deriv)
    # pad the signal at the extremes with
    # values taken from the signal itself
    firstvals = y[0] - np.abs( y[1:half_window+1][::-1] - y[0] )
    lastvals = y[-1] + np.abs(y[-half_window-1:-1][::-1] - y[-1])
    y = np.concatenate((firstvals, y, lastvals))
    return np.convolve( m[::-1], y, mode='valid')

这是让我困惑的部分:

firstvals = y[0] - np.abs( y[1:half_window+1][::-1] - y[0] )
lastvals = y[-1] + np.abs(y[-half_window-1:-1][::-1] - y[-1])
y = np.concatenate((firstvals, y, lastvals))

我知道我们需要“填充”y，否则第一个 window_size/2 点将被排除，但我看不出减去的意义特定值与 y[0] 与 y[0] 的绝对差。

我认为绝对值不应该存在，否则，如果趋势开始增加，则趋势会水平镜像，如果趋势开始下降，则趋势会垂直镜像。

正如 @ImportanceOfBeingErnest 所指出的，这可能是代码中的拼写错误，通过查看我链接到的页面中的绘图的左侧可以看出。

Answer 1

确实，这个逻辑是不对的，通过考虑 y[0] 和 y[-1] 为 0 的情况可以最好地看出这一点。我相信其目的是实现奇数反射，以便一阶导数在反射点处是连续的。正确的形式是

firstvals = 2*y[0] - y[1:half_window+1][::-1]
lastvals = 2*y[-1] - y[-half_window-1:-1][::-1]

或者，将反转和切片合并在一个步骤中，

firstvals = 2*y[0] - y[half_window:0:-1]
lastvals = 2*y[-1] - y[-2:-half_window-2:-1]

我应该强调这只是用户贡献的一些代码。实际Scipy implementation of Savitzky-Golay filter是完全不同的。