Spectral Inference under Complex Temporal Dynamics

• 成果类型: Article
• 署名作者: Yang, Jun; Zhou, Zhou
• 署名单位: University of Toronto
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2020.1764365
• 发表日期: 2022
• 页码: 133-155
• 关键词: time-series; 2nd-order stationarity; models

摘要

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.