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

Yu Xiang; Jie Ding; Vahid Tarokh

doi:10.1109/ICASSP.2018.8461443

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 proceeding › Conference contribution

4 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 language	English (US)
Title of host publication	2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	3994-3998
Number of pages	5
ISBN (Print)	9781538646588
DOIs	https://doi.org/10.1109/ICASSP.2018.8461443
State	Published - Sep 10 2018
Externally published	Yes
Event	2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Calgary, Canada Duration: Apr 15 2018 → Apr 20 2018

Publication series

Name	ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume	2018-April
ISSN (Print)	1520-6149

Other

Other	2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018
Country/Territory	Canada
City	Calgary
Period	4/15/18 → 4/20/18

Bibliographical note

Funding Information:
This work is supported by Defense Advanced Research Projects Agency (DARPA) grant numbers W911NF-14-1-0508 and N66001-15-C-4028.

Publisher Copyright:
© 2018 IEEE.

Keywords

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

Access

10.1109/ICASSP.2018.8461443

OpenUrl availability

Full text

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). Article 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

Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test. / Xiang, Yu; Ding, Jie; Tarokh, Vahid.
2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2018. p. 3994-3998 8461443 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings; Vol. 2018-April).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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., 8461443, ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, vol. 2018-April, Institute of Electrical and Electronics Engineers Inc., pp. 3994-3998, 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018, Calgary, Canada, 4/15/18. https://doi.org/10.1109/ICASSP.2018.8461443

Xiang Y, Ding J, Tarokh V. 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. Institute of Electrical and Electronics Engineers Inc. 2018. p. 3994-3998. 8461443. (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). doi: 10.1109/ICASSP.2018.8461443

Xiang, Yu ; Ding, Jie ; Tarokh, Vahid. / Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test. 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2018. pp. 3994-3998 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings).

@inproceedings{53f7f4a1a93e4ea09cbb84ce32424b56,

title = "Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test",

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.",

keywords = "Evolutionary Spectra, Multitaper Method, Non-stationary Processes, Spectral Analysis, Stationarity Test",

author = "Yu Xiang and Jie Ding and Vahid Tarokh",

note = "Funding Information: This work is supported by Defense Advanced Research Projects Agency (DARPA) grant numbers W911NF-14-1-0508 and N66001-15-C-4028. Publisher Copyright: {\textcopyright} 2018 IEEE.; 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 ; Conference date: 15-04-2018 Through 20-04-2018",

year = "2018",

month = sep,

day = "10",

doi = "10.1109/ICASSP.2018.8461443",

language = "English (US)",

isbn = "9781538646588",

series = "ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "3994--3998",

booktitle = "2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings",

}

TY - GEN

T1 - Evolutionary Spectra Based on the Multitaper Method with Application to Stationarity Test

AU - Xiang, Yu

AU - Ding, Jie

AU - Tarokh, Vahid

PY - 2018/9/10

Y1 - 2018/9/10

N2 - 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.

AB - 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.

KW - Evolutionary Spectra

KW - Multitaper Method

KW - Non-stationary Processes

KW - Spectral Analysis

KW - Stationarity Test

UR - http://www.scopus.com/inward/record.url?scp=85054251806&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85054251806&partnerID=8YFLogxK

U2 - 10.1109/ICASSP.2018.8461443

DO - 10.1109/ICASSP.2018.8461443

M3 - Conference contribution

AN - SCOPUS:85054251806

SN - 9781538646588

T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

SP - 3994

EP - 3998

BT - 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018

Y2 - 15 April 2018 through 20 April 2018

ER -

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

Abstract

Publication series

Other

Bibliographical note

Keywords

Access

OpenUrl availability

Other files and links

Fingerprint

Cite this