Estimating derivatives and integrals with Kriging

Emmanuel Vazquez (1, 2) , Eric Walter (2)

1 SUPELEC-Campus Gif
2 L2S - Laboratoire des signaux et systèmes

This paper formalizes a methodology based on Kriging, a technique developped by geostatisticians, for estimating derivatives and integrals of signals that are only known via possibly irregularly spaced and noisy observations. This finds direct applications, e.g., in system identification when differential algebra is used to express parameters as nonlinear functions of the inputs and outputs and their derivatives. The procedure is quite simple to implement, and allows confidence intervals on the predicted values to be derived.

Domaines: Analyse fonctionnelle [math.FA]; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Emmanuel Vazquez, Eric Walter. Estimating derivatives and integrals with Kriging. IEEE 44th Conference on Decision and Control & European Control Conference, Dec 2005, European Union. pp 8156-8161. ⟨hal-00369893⟩