Numerical analysis for iterative filtering with new efficient implementations based on FFT

Abstract

The development of methods able to extract hidden features from non-stationary and non-linear signals in a fast and reliable way is of high importance in many research fields. In this work we tackle the problem of further analyzing the convergence of the Iterative Filtering method both in a continuous and a discrete setting in order to provide a comprehensive analysis of its behavior. Based on these results we provide a new efficient implementation of Iterative Filtering algorithm, called Fast Iterative Filtering, which reduces the original iterative algorithm computational complexity by utilizing, in a nontrivial way, Fast Fourier Transform in the computations.