The well-known and popular Savitzky-Golay filter has several disadvantages. A very attractive alternative is a smoother based on penalized least squares, extending ideas presented by Whittaker 80 years ago. This smoother is extremely fast, gives continuous control over smoothness, interpolates automatically, and allows fast leave-one-out cross-validation. It can be programmed in a few lines of Matlab code. Theory, implementation, and applications are presented.
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Paul H.C. Eilers (2003) studied this question.
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