This would be a similar approach as the ExcelFunctions class (https://numerics.mathdotnet.com/api/MathNet.Numerics/ExcelFunctions.htm).

Like "sind", "cosd", etc?

Thanks, that will be very useful for our implementation!

Quick note on ALGLIB: We cannot use any code from ALGLIB version >= 2.1.0 for legal/licensing reasons, however we do have explicit permission from Sergey Bochkanov (the author of ALGLIB) for version 2.0.1.

That looks good indeed, thanks for sharing!

I assume you're referring to Savitzky–Golay smoothing filters, as in https://secure.wikimedia.org/wikipedia/en/wiki/Savitzky%E2%80%93Golay_smoothing_filter