The spectral analysis of nonstationary categorical time series using local spectral envelope


Most classical methods for the spectral analysis are based on the assumption that the time series is stationary. However, many time series in practical problems shows nonstationary behaviors. The data from some fields are huge and have variance and spectrum which changes over time. Sometimes,we are interested in the cyclic behavior of the categorical-valued time series such as EEG sleep state data or DNA sequence, the general method is to scale the data, that is, assign numerical values to the categories and then use the periodogram to find the cyclic behavior. But there exists numerous possible scaling. If we arbitrarily assign the numerical values to the categories and proceed with a spectral analysis, then the results will depend on the particular assignment. We would like to find the all possible scaling that bring out all of the interesting features in the data. To overcome these problems, there have been many approaches in the spectral analysis. Our goal is to develop a statistical methodology for analyzing nonstationary categorical time series in the frequency domain. In this dissertation, the spectral envelope methodology is introduced for spectral analysis of categorical time series. This provides the general framework for the spectral analysis of the categorical time series and summarizes information from the spectrum matrix. To apply this method to nonstationary process, I used the TBAS(Tree-Based Adaptive Segmentation) and local spectral envelope based on the piecewise stationary process. In this dissertation,the TBAS(Tree-Based Adpative Segmentation) using distance function based on the Kullback-Leibler divergence was proposed to find the best segmentation

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