Adaptively Wavelet{smoothed Wigner Estimates of Evolutionary Spectra

  title={Adaptively Wavelet\{smoothed Wigner Estimates of Evolutionary Spectra},
  author={V Sachs}
We consider adaptive estimation of the evolutionary spectrum in the model of a locally stationary time series in the time{frequency plane. The estimate is based on a modiication of a time{dependent periodogram (spectogram), which can be considered as a sort of smoothed pseudo{Wigner estimate. In our approach, the separable time{frequency smoothing kernel (weight) function is built by using 2{d tensor product wavelets which allows independent smoothing in both time and frequency. The estimator… CONTINUE READING
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