Evolutionary Spectra and Non-Stationary Processes

作者：Mark Priestley · 发表于：Journal of the Royal Statistical Society Series B (Statistical Methodology) · 年份：1965 · DOI：10.1111/j.2517-6161.1965.tb01488.x · 被引用次数：1075 · 研究领域：Advanced Thermodynamics and Statistical Mechanics、Complex Systems and Time Series Analysis、Statistical Mechanics and Entropy

Summary We develop an approach to the spectral analysis of non-stationary processes which is based on the concept of “evolutionary spectra”; that is, spectral functions which are time dependent, and have a physical interpretation as local energy distributions over frequency. It is shown that the notion of evolutionary spectra generalizes the usual definition of spectra for stationary processes, and that, under certain conditions, the evolutionary spectrum at each instant of time may be estimated from a single realization of a process. By such means it is possible to study processes with continuously changing “spectral patterns”.