Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation

Abstract

We consider detecting the evolutionary oscillatory pattern of a signal when it is contaminated by nonstationary noises with complexly time-varying data generating mechanism. A high-dimensional dense progressive periodogram test is proposed to accurately detect all oscillatory frequencies. A further phase-adjusted local change point detection algorithm is applied in the frequency domain to detect the locations at which the oscillatory pattern changes. Our method is shown to be able to detect all oscillatory frequencies and the corresponding change points within an accurate range with a prescribed probability asymptotically. A Gaussian approximation scheme and an overlapping-block multiplier bootstrap methodology for sums of complex-valued high dimensional nonstationary time series without variance lower bounds are established, which could be of independent interest. This study is motivated by oscillatory frequency estimation and change point detection problems encountered in physiological time series analysis. An application to spindle detection and estimation in electroencephalogram recorded during sleep is used to illustrate the usefulness of the proposed methodology. Supplementary materials for this article are available online including a standardized description of the materials available for reproducing the work.

KEYWORDS:

• Gaussian approximation
• Nonstationary time series
• Oscillation change point detection
• Oscillation frequency detection
• Time-frequency analysis
• Spectral domain methods

Supplementary Materials

Supplementary materials for this article are available online. Please go to www.tandfonline.com/r/JASA.

Acknowledgments

The authors would like to acknowledge the anonymous reviewers for their constructive comments that help improve the article.