Title: Spectral inference under complex temporal dynamics
Authors: Jun Yang - University of Oxford (United Kingdom) [presenting]
Abstract: Unified theory and methodology are developed 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 an 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.