Spectral Inference under Complex Temporal Dynamics

DOI10.1080/01621459.2020.1764365zbMATH Open1506.62375arXiv1812.07706OpenAlexW3021941172MaRDI QIDQ5881071FDOQ5881071

Authors:

Publication date: 9 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: We develop unified theory and methodology for the inference of evolutionary Fourier power spectra for a general class of locally stationary and possibly nonlinear processes. In particular, simultaneous confidence regions (SCR) with asymptotically correct coverage rates are constructed for the evolutionary spectral densities on a nearly optimally dense grid of the joint time-frequency domain. A simulation based bootstrap method is proposed to implement the SCR. The SCR enables researchers and practitioners to visually evaluate the magnitude and pattern of the evolutionary power spectra with asymptotically accurate statistical guarantee. The SCR also serves as a unified tool for a wide range of statistical inference problems in time-frequency analysis ranging from tests for white noise, stationarity and time-frequency separability to the validation for non-stationary linear models.

Full work available at URL: https://arxiv.org/abs/1812.07706

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zbMATH Keywords

nonparametric methodssignal processingtime-frequency analysisfrequency domainnon-stationary time series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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Cited In (6)

• AdaptSPEC-X: Covariate-Dependent Spectral Modeling of Multiple Nonstationary Time Series
• Reconstruction of diffusion using spectral data from time series
• Title not available (Why is that?)
• Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
• Weak convergence of the conditional U-statistics for locally stationary functional time series
• Multiscale spectral modelling for nonstationary time series within an ordered multiple-trial experiment

Uses Software

• astsa
• haarfisz

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