Fast Algorithms for the computation of Fourier Extensions of arbitrary length

Fourier series of smooth, non-periodic functions on $[-1,1]$ are known to exhibit the Gibbs phenomenon, and exhibit overall slow convergence. One way of overcoming these problems is by using a Fourier series on a larger domain, say $[-T,T]$ with $T>1$, a technique called Fourier extension or Fourier continuation. When constructed as the discrete least squares minimizer in equidistant points, the Fourier extension has been shown shown to converge geometrically in the truncation parameter $N$. A fast ${\mathcal O}(N \log^2 N)$ algorithm has been described to compute Fourier extensions for the case where $T=2$, compared to ${\mathcal O}(N^3)$ for solving the dense discrete least squares problem. We present two ${\mathcal O}(N\log^2 N )$ algorithms for the computation of these approximations for the case of general $T$, made possible by exploiting the connection between Fourier extensions and Prolate Spheroidal Wave theory. The first algorithm is based on the explicit computation of so-called periodic discrete prolate spheroidal sequences, while the second algorithm is purely algebraic and only implicitly based on the theory

On causal extrapolation of sequences with applications to forecasting

The paper suggests a method of extrapolation of notion of one-sided semi-infinite sequences representing traces of two-sided band-limited sequences; this features ensure uniqueness of this extrapolation and possibility to use this for forecasting. This lead to a forecasting method for more general sequences without this feature based on minimization of the mean square error between the observed path and a predicable sequence. These procedure involves calculation of this predictable path; the procedure can be interpreted as causal smoothing. The corresponding smoothed sequences allow unique extrapolations to future times that can be interpreted as optimal forecasts.Comment: arXiv admin note: substantial text overlap with arXiv:1111.670

Augmented Slepians: Bandlimited Functions that Counterbalance Energy in Selected Intervals

Slepian functions provide a solution to the optimization problem of joint time-frequency localization. Here, this concept is extended by using a generalized optimization criterion that favors energy concentration in one interval while penalizing energy in another interval, leading to the "augmented" Slepian functions. Mathematical foundations together with examples are presented in order to illustrate the most interesting properties that these generalized Slepian functions show. Also the relevance of this novel energy-concentration criterion is discussed along with some of its applications

Super-Resolution in Phase Space

This work considers the problem of super-resolution. The goal is to resolve a Dirac distribution from knowledge of its discrete, low-pass, Fourier measurements. Classically, such problems have been dealt with parameter estimation methods. Recently, it has been shown that convex-optimization based formulations facilitate a continuous time solution to the super-resolution problem. Here we treat super-resolution from low-pass measurements in Phase Space. The Phase Space transformation parametrically generalizes a number of well known unitary mappings such as the Fractional Fourier, Fresnel, Laplace and Fourier transforms. Consequently, our work provides a general super- resolution strategy which is backward compatible with the usual Fourier domain result. We consider low-pass measurements of Dirac distributions in Phase Space and show that the super-resolution problem can be cast as Total Variation minimization. Remarkably, even though are setting is quite general, the bounds on the minimum separation distance of Dirac distributions is comparable to existing methods.Comment: 10 Pages, short paper in part accepted to ICASSP 201