AutoSpec: detection of narrowband frequency changes in time series

Abstract

Most established techniques that search for structural breaks in time series have a difficult time identifying small changes in the process, especially when looking for narrowband frequency changes. The problem is that many of the techniques assume very smooth local spectra and tend to produce overly smooth estimates. The problem of over-smoothing tends to produce spectral estimates that miss slight frequency changes because frequencies that are close together will be lumped into one frequency. The goal of this work is to develop techniques that concentrate on detecting slight frequency changes by requiring a high degree of resolution in the frequency domain.