Differentiation by integration with Jacobi polynomials (Q631904)

The numerical differentiation by integration method based on Jacobi polynomials is revisited in the central case where the used integration window is centered. The method proposed in this paper is used to estimate the \(n\)th \((n \in \mathbb{N} )\) derivative from noisy data of a smooth function belonging to at least \(C^{n+1+q} (q \in \mathbb{N})\). It shown that the bias error is \(O(h^{q+2})\) where \(h\) is the integration window length for \(f\in C^{n+q+2}\) in the noise free case and the corresponding convergence rate is \(O(\delta^{\frac{q+1}{n+1+q}})\) where \(\delta\) is the noise level for a well-chosen integration window length. Numerical examples show that this proposed method is stable and effective.