Statistical Learning for the Spectral Analysis of Time Series Data

Spectral analysis of biological processes poses a wide variety of complications. Statistical learning techniques in both the frequentist and Bayesian frameworks are required overcome the unique and varied challenges that exist in analyzing these data in a meaningful way. This dissertation presents new methodologies to address problems in multivariate stationary and univariate nonstationary time series analysis. The first method is motivated by the analysis of heart rate variability time series. Since it is nonstationary, it poses a unique challenge: localized, accurate and interpretable descriptions of both frequency and time are required. By reframing this question in a reduced-rank regression setting, we propose a novel approach that produces a low-dimensional, empirical basis that is localized in bands of time and frequency. To estimate this frequency-time basis, we apply penalized reduced rank regression with singular value decomposition to the localized discrete Fourier transform. An adaptive sparse fused lasso penalty is applied to the left and right singular vectors, resulting in low-dimensional measures that are interpretable as localized bands in time and frequency. We then apply this method to interpret the power spectrum of HRV measured on a single person over the course of a night. The second method considers the analysis of high dimensional resting-state electroencephalography recorded on a group of first-episode psychosis subjects compared to a group of healthy controls. This analysis poses two challenges. First, estimating the spectral density matrix in a high dimensional setting. And second, incorporating covariates into the estimate of the spectral density. To address these, we use a Bayesian factor model which decomposes the Fourier transform of the time series into a matrix of factors and vector of factor loadings. The factor model is then embedded into a mixture model with covariate dependent mixture weights. The method is then applied to examine differences in the power spectrum for first-episode psychosis subjects vs healthy controls. Public health significance: As collection methods for time series data becomes ubiquitous in biomedical research, there is an increasing need for statistical methodology that is robust enough to handle the complicated and potentially high dimensionality of the data while retaining the flexibility needed to answer real world questions of interest

Regularised inference for changepoint and dependency analysis in non-stationary processes

Multivariate correlated time series are found in many modern socio-scientific domains such as neurology, cyber-security, genetics and economics. The focus of this thesis is on efficiently modelling and inferring dependency structure both between data-streams and across points in time. In particular, it is considered that generating processes may vary over time, and are thus non-stationary. For example, patterns of brain activity are expected to change when performing different tasks or thought processes. Models that can describe such behaviour must be adaptable over time. However, such adaptability creates challenges for model identification. In order to perform learning or estimation one must control how model complexity grows in relation to the volume of data. To this extent, one of the main themes of this work is to investigate both the implementation and effect of assumptions on sparsity; relating to model parsimony at an individual time- point, and smoothness; how quickly a model may change over time. Throughout this thesis two basic classes of non-stationary model are stud- ied. Firstly, a class of piecewise constant Gaussian Graphical models (GGM) is introduced that can encode graphical dependencies between data-streams. In particular, a group-fused regulariser is examined that allows for the estima- tion of changepoints across graphical models. The second part of the thesis focuses on extending a class of locally-stationary wavelet (LSW) models. Un- like the raw GGM this enables one to encode dependencies not only between data-streams, but also across time. A set of sparsity aware estimators are developed for estimation of the spectral parameters of such models which are then compared to previous works in the domain