Roundoff error analysis of the recursive moving window discrete Fourier transform (Q1869353)

The authors give a detailed analysis of roundoff errors for the recursive moving window discrete Fourier transform with precomputed twiddle factors. As in the spirit of their papers [Handbook of analytic-computational methods in applied mathematics (2000; Zbl 0976.65123); BIT 41, 563--581 (2001; Zbl 0999.65152)] they study a worst case and an average case scenario. The latter assumes uncorrelated data, although the results can be extended to correlated data under additional conditions. The analysis shows that there is a similar behavior as it is known for the fast Fourier transform [cf. \textit{N. J. Higham}, Accuracy and stability of numerical algorithms (2002; Zbl 1011.65010)], i.e., there is a strong influence on the numerical stability of the accuracy of the initial fast Fourier transform and the error in the recursion step. Based on their error analysis, the authors present an improved version of the moving window discrete Fourier transform