![]() 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. However, smoothing is known to suffer from the so-called bias leakage problem. The classical estimate of the evolutionary spectral density is based on a double-window technique consisting of a short-Fourier transform and a smoothing. Among various frameworks of modeling non-stationary processes, the distinguishing feature of the evolutionary spectra is its focus on the physical meaning of frequency. As an application of the new estimate, we further propose a non-parametric rank-based stationarity test, and provide various experimental studies.ĪB - In this work, we propose a new inference procedure for understanding non-stationary processes, under the framework of evolutionary spectra developed by Priestley. ![]() N2 - In this work, we propose a new inference procedure for understanding non-stationary processes, under the framework of evolutionary spectra developed by Priestley. This work is supported by Defense Advanced Research Projects Agency (DARPA) grant numbers W911NF-14-1-0508 and N66001-15-C-4028. T1 - Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test
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