Compute the successive derivatives from one single time series, with the Savitzky-Golay approach (1964).
compDeriv(TS, nDrv, tstep, winL = 9)A single time series provided as a single vector.
The number of derivatives to be computed from the input
series. The resulting number of time series obtained as an output
will thus be nVar = nDrv + 1.
Time sampling of the input series.
The local window length to be used for computing the derivatives [1-2].
A matrix containing the original variable (as smoothed by the
filtering process) and its nDrv first derivatives (note that winL
values of the original time series will be lost both at the begining and
the end of the time series due to boundary effect).
[1] Savitzky, A.; Golay, M.J.E., Smoothing and Differentiation of Data by Simplified Least Squares Procedures. Analytical Chemistry 36 (8), 1627-1639, 1964. [2] Steinier J., Termonia Y., Deltour, J. Comments on smoothing and differentiation of data by simplified least square procedure. Analytical Chemistry 44 (11): 1906-1909, 1972.