A quantitative method for the detection of edges in noisy time-series

A modification of the edge detector of Chung & Kennedy is proposed in which the output provides confidence limits for the presence or absence of sharp edges (steps) in the input waveform. Their switching method with forward and backward averaging windows is retained, but the output approximates an ideal output function equal to the difference in these averages divided by the standard deviation of the noise. Steps are associated with peak output above a pre-set threshold. Formulae for the efficiency and reliability of this ideal detector are derived for input waveforms with Gaussian white noise and sharp edges, and serve as benchmarks for the switching edge detector. Efficiency is kept high if the threshold is a fixed fraction of the step size of interest relative to noise, and reliability is improved by increasing the window width W to reduce false output. For different steps sizes D, the window width for fixed efficiency and reliability scales as 1/D2. Versions with weighted averaging (flat, ramp, triangular) or median averaging but the same window width perform similarly. Binned above-threshold output is used to predict the locations and signs of detected steps, and simulations show that efficiency and reliability are close to ideal. Location times are accurate to order square root of W. Short pulses generate reduced output if the number of data points in the pulse is less than W. They are optimally detected by choosing W as above and collecting data at a rate such that the pulse contains approximately W data points. A Fortran program is supplied.