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The leaky integrator that could: Or recursive polynomial regression for online signal analysis

Fitting a local polynomial model to a noisy sequence of uniformly sampled observations or measurements (i.e. regressing) by minimizing the sum of weighted squared errors (i.e. residuals) may be used to design digital filters for a diverse range of signal-analysis problems, such as detection, classification and tracking, in biomedical, financial, and aerospace applications, for instance. Furthermore, the recursive realization of such filters, using a network of so-called leaky integrators, yields simple digital components with a low computational complexity and an infinite impulse response (IIR) that are ideal in embedded online sensing systems with high data rates. Target tracking, pulse-edge detection, peak detection and anomaly/change detection are considered in this tutorial as illustrative examples. Erlang-weighted polynomial regression provides a design framework within which the various design trade-offs of state estimators (e.g. bias errors vs. random errors) and IIR smoothers (e.g. frequency isolation vs. time localization) may be intuitively balanced. Erlang weights are configured using a smoothing parameter which determines the decay rate of the exponential tail; and a shape parameter which may be used to discount more recent data, so that a greater relative emphasis is placed on a past time interval. In Morrison's 1969 treatise on sequential smoothing and prediction, the exponential weight (i.e. the zero shape-parameter case) and the Laguerre polynomials that are orthogonal with respect to this weight, are described in detail; however, more general Erlang weights and the resulting associated Laguerre polynomials are not considered there, nor have they been covered in detail elsewhere since. Thus, one of the purposes of this tutorial is to explain how Erlang weights may be used to shape and improve the response of recursive regression filters.

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