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 non-stationary 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 non-stationary 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.