NO : WP-2018-025
AUTHOR : D.M.Nachane
TITLE :TIME-VARYING SPECTRAL ANALYSIS : THEORY AND APPLICATIONS
ABSTRACT :
Non-stationary time series are a frequently observed phenomenon in several applied fields, particularly
physics, engineering and economics. The conventional way of analysing such series has been via
stationarity inducing filters. This can interfere with the intrinsic features of the series and induce
distortions in the spectrum. To avert this possibility, it might be a better alternative to proceed directly
with the series via the so-called time-varying spectrum. This article outlines the circumstances under
which such an approach is possible, drawing attention to the practical applicability of these methods.
Several methods are discussed and their relative advantages and drawbacks delineated
Keywords:
Non-stationarity, mixing conditions, oscillatory processes, evolutionary spectrum,
ANOVA, decoupling
JEL Code : C32
Weblink :http://www.igidr.ac.in/pdf/publication/WP-2018-025.pdf
