Approximation of the Hilbert Transform On The Unit Circle

Abstract The paper deals with the numerical approximation of the Hilbert transform on the unit circle using Szegő and anti-Szegő quadrature formulas. These schemes exhibit maximum precision with oppositely signed errors and allow for improved accuracy through their averaged results. Their computation involves a free parameter associated with the corresponding para-orthogonal polynomials. Here, it is suitably chosen to construct a Szegő and anti-Szegő formula whose nodes are strategically distanced from the singularity of the Hilbert kernel. Numerical experiments demonstrate the accuracy of the proposed method.