I have some trading data in the form of (exchange rate, volume, time) tuples. I'm trying to estimate the rate of change of the exchange rate. Of course the trade data is non-uniformly sampled.


Also, the function is rather noisy, so the estimation has to be robust.


So what are good ways of estimating the derivative of a noisy, non-uniformly sampled function?


Thanks!



Estimating the derivative of a noisy, non-uniformly sampled function
The magic words are: "Kalman filter" (this solves this problem in a relatively simple setting, there are a number of extensions, many of them proprietary). The wikipedia article on Kalman filtering, and the references therein, is a good place to start.


