Savitzky Golay Smoothing

**YeahMan** · 09-05-2012, 04:19 PM

Hi to all,

I've been searching the web for a way to do SG smoothing in Excel but haven't found anything (and to be honest don't completely grasp the mathematics).
Does anyone have any experience on how to reproduce this in Excel?

http://en.wikipedia.org/wiki/Savitzk...oothing_filter
http://research.microsoft.com/en-us/...Gol/SavGol.htm

Thx

**Jakobshavn** · 09-05-2012, 05:45 PM

As per:
http://www.statistics4u.info/fundsta..._savgolay.html
with data in column A, in B4 enter:
=(-2*A1+3*A2+6*A3+7*A4+6*A5+3*A7-2*A8)/21 and copy down

See the attachment for an example:

**shg** · 09-05-2012, 05:54 PM

Or

=SUMPRODUCT(A1:A7, {-2;3;6;7;6;3;-2})/21

**Jakobshavn** · 09-05-2012, 06:28 PM

There was an error in my previous post, formula should have been:

=(-2*A1+3*A2+6*A3+7*A4+6*A5+3*A6-2*A7)/21

**YeahMan** · 09-06-2012, 03:59 AM

Does this help with smoothing of Non-Parametric data?
Seems too simple compared to some of the websites I've read -- but thank you for your help.

**Jakobshavn** · 09-06-2012, 07:08 AM

Our posts represent the implementation of an SG linear filter. The coefficients are only an example. In your case, you need to start with a candidate polynimial filter and calculate the coefficients using the method outlined in Jphn Krumm's paper.