Estimation of the Evolutionary Spectra with Application to Stationarity Test
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Abstract (arXiv)
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-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.
Key facts. Cited by 4 papers in the map (data through 7 Oct 2026). First posted on arXiv 25 Feb 2018.
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Citing papers per year: 2022: 2; 2023: 0; 2024: 2.
4 papers.
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