Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test

Journal Article

In this work, we propose a new inference procedure for understanding non-stationary processes, under the framework of evolutionary spectra developed by Priestley. Among various frameworks of modeling non-stationary processes, the distinguishing feature of the evolutionary spectra is its focus on the physical meaning of frequency. The classical estimate of the evolutionary spectral density is based on a double-window technique consisting of a short-Fourier transform and a smoothing. However, smoothing is known to suffer from the so-called bias leakage problem. By incorporating Thomson's multitaper method that was originally designed for stationary processes, we propose an improved estimate of the evolutionary spectral density, and analyze its bias/variance/resolution tradeoff. As an application of the new estimate, we further propose a non-parametric rank-based stationarity test, and provide various experimental studies.

Full Text

Duke Authors

Cited Authors

  • Xiang, Y; Ding, J; Tarokh, V

Published Date

  • September 10, 2018

Published In

Volume / Issue

  • 2018-April /

Start / End Page

  • 3994 - 3998

International Standard Serial Number (ISSN)

  • 1520-6149

Digital Object Identifier (DOI)

  • 10.1109/ICASSP.2018.8461443

Citation Source

  • Scopus