Talk 2

One Day Meeting on Advanced Statistics Topics

CIDMA- University of Aveiro

Speaker: David Stoffer - University of Pittsburgh

Title of the talk: 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 shifts because frequencies that are close together are merged into one frequency. We discuss a nonparametric approach via minimum description length that concentrates on detecting slight frequency changes by requiring a high degree of resolution in the frequency domain.

David S. Stoffer is Professor Emeritus of Statistics at the University of Pittsburgh, where he served from 1982 to 2022. He earned his Ph.D. in Statistics from the University of California, Davis, and has held visiting positions at Stanford University, the University of Chicago, the Chinese University of Hong Kong, and the University of São Paulo, among others.

He is internationally recognized for his contributions to time series analysis, particularly in spectral methods, state-space models, and applications in the biological sciences. His work has been published in leading journals, and he is co-author of widely used textbooks including Time Series Analysis and Its Applications (Springer) and Nonlinear Time Series (CRC Press).

Stoffer’s achievements have earned him several honors, including election as Fellow of the American Statistical Association (2006), the Distinguished Author Award from the Journal of Time Series Analysis (2020), and the ASA Outstanding Statistical Application Award (1989).

He has also served as Co-Editor of the Journal of Time Series Analysis and contributed to several other journals as an editor and associate editor. His research has been consistently supported by the National Science Foundation.

ORCID: 0000-0001-9194-3001 GitHub: dsstoffer.github.io

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