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As we know group delay as a function of frequency, computed as differentiation of unwrapped phase, but what happen at those frequencies where unwrapped phase is non differentiable?how to calculate delay at that particular frequency?

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If there are phase discontinuities after all $2\pi$-jumps have been removed, then these discontinuities are usually caused by zeros of the frequency response. The phase jumps by $\pi$ at these frequencies, and the group delay doesn't exist, or, if one prefers, is non-finite. Note that the group delay is meaningless anyway at frequencies where the frequency response is zero.

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