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Multidimensional Iterative Filtering method for the decomposition of high-dimensional non-stationary signals

Iterative Filtering (IF) is an alternative technique to the Empirical Mode Decomposition (EMD) algorithm for the decomposition of non-stationary and non-linear signals. Recently in [1] IF has been proved to be convergent for any $L^2$ signal and its stability has been also showed through examples. Furthermore in [1] the so called Fokker-Planck (FP) filters have been introduced. They are smooth at every point and have compact supports. Based on those results, in this paper we introduce the Multidimensional Iterative Filtering (MIF) technique for the decomposition and time-frequency analysis of non-stationary high-dimensional signals. And we present the extension of FP filters to higher dimensions. We illustrate the promising performance of MIF algorithm, equipped with high-dimensional FP filters, when applied to the decomposition of 2D signals. [1] A. Cicone, J. Liu, and H. Zhou, Adaptive local iterative filtering for signal decomposition and instantaneous frequency analysis, arXiv:1411.6051, 2014.