Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test

Yu Xiang, Jie Ding, Vahid Tarokh

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

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-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.

Original languageEnglish (US)
Title of host publication2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3994-3998
Number of pages5
ISBN (Print)9781538646588
DOIs
StatePublished - Sep 10 2018
Event2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Calgary, Canada
Duration: Apr 15 2018Apr 20 2018

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume2018-April
ISSN (Print)1520-6149

Other

Other2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018
CountryCanada
CityCalgary
Period4/15/184/20/18

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Keywords

  • Evolutionary Spectra
  • Multitaper Method
  • Non-stationary Processes
  • Spectral Analysis
  • Stationarity Test

Cite this

Xiang, Y., Ding, J., & Tarokh, V. (2018). Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test. In 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings (pp. 3994-3998). [8461443] (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings; Vol. 2018-April). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICASSP.2018.8461443