Estimation of the evolutionary spectra with application to stationarity test


Journal Article

© 2018 IEEE. In this paper, 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-time 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

  • March 1, 2019

Published In

Volume / Issue

  • 67 / 5

Start / End Page

  • 1353 - 1365

International Standard Serial Number (ISSN)

  • 1053-587X

Digital Object Identifier (DOI)

  • 10.1109/TSP.2018.2890369

Citation Source

  • Scopus