B0820
Title: Adaptive frequency band analysis for functional time series
Authors: Pramita Bagchi - George Washington University (United States) [presenting]
Abstract: The frequency-domain properties of nonstationary functional time series often contain valuable information. These properties are characterized by their time-varying power spectrum. Practitioners seeking low-dimensional summary measures of the power spectrum often partition frequencies into bands and create collapsed measures of power within bands. However, standard frequency bands have primarily been developed through manual inspection of time series data and may not adequately summarize power spectra. We propose a framework for adaptive frequency band estimation of nonstationary functional time series that optimally summarizes the time-varying dynamics of the series. We develop a scan statistic and search algorithm to detect changes in the frequency domain. We establish the theoretical properties of this framework and develop a computationally-efficient implementation. The validity of our method is also justified through numerous simulation studies and an application to analyzing electroencephalogram data in participants alternating between eyes open and eyes closed conditions.
