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Re: Moving Least Squares, Anyone?


From: Paul Kienzle
Subject: Re: Moving Least Squares, Anyone?
Date: Fri, 18 Nov 2005 20:12:49 -0500


On Nov 18, 2005, at 5:27 PM, Dmitri A. Sergatskov wrote:

On 11/18/05, Joe Koski <address@hidden> wrote:
Has anyone run across "moving least squares" code in .m, .cc, .f, etc.
formats that would be adaptable for use with octave? Apparently, moving
least squares can be used to create approximating curves for
interpolation/approximation much in the same way that spline curves can be used. In some situations, the moving least squares approach can reduce the need to solve large matrices, which is normally associated with the curve
fit process.

A Google of "moving least squares" shows several papers, but no code that I
can find. Any ideas?


Would Kalman filter do the same / better?

Savitsky-Golay is a moving least squares filter.  You can use it for
curve smoothing if the data are equally spaced.

- Paul



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