Time-varying spectral analysis: Theory and applications

D.M. Nachane ()
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D.M. Nachane: Indira Gandhi Institute of Development Research

Indira Gandhi Institute of Development Research, Mumbai Working Papers from Indira Gandhi Institute of Development Research, Mumbai, India

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 (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 29 pages
New Economics Papers: this item is included in nep-ecm and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:ind:igiwpp:2018-025

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