This thesis proposes novel methods to address specific challenges in analyzing the frequency- and time-domain properties of nonstationary time series data motivated by the study of electrophysiological signals. A new method is proposed for the simultaneous and automatic analysis of the association between the time-varying power spectrum and covariates. The procedure adaptively partitions the grid of time and covariate values into an unknown number of approximately stationary blocks and nonparametrically estimates local spectra within blocks through penalized splines. The approach is formulated in a fully Bayesian framework, in which the number and locations of partition points are random, and fit using reversible jump Markov chain Monte Carlo techniques. Estimation and inference averaged over the distribution of partitions allows for the accurate analysis of spectra with both smooth and abrupt changes. The new methodology is used to analyze the association between the time-varying spectrum of heart rate variability and self-reported sleep quality in a study of older adults serving as the primary caregiver for their ill spouse. Another method proposed in this dissertation develops a unique framework for automatically identifying bands of frequencies exhibiting similar nonstationary behavior. This proposal provides a standardized, unifying approach to constructing customized frequency bands for different signals under study across different settings. A frequency-domain, iterative cumulative sum procedure is formulated to identify frequency bands that exhibit similar nonstationary patterns in the power spectrum through time. A formal hypothesis testing procedure is also developed to test which, if any, frequency bands remain stationary. This method is shown to consistently estimate the number of frequency bands and the location of the upper and lower bounds defining each frequency band. This method is used to estimate frequency bands useful in summarizing nonstationary behavior of full night heart rate variability data. / Statistics