Spectral Inference under Complex Temporal Dynamics

Research output: Contribution to journalJournal articleResearchpeer-review

We develop a 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.
Original languageEnglish
JournalJournal of the American Statistical Association
Volume117
Issue number537
Pages (from-to)133-155
ISSN0162-1459
DOIs
Publication statusPublished - 2 Jan 2022
Externally publishedYes

ID: 361385565