Abstract: A review is presented of the timescale spectral analysis method proposed by Li et al. in recent years and its applications in X\|ray astronomy. This is a multi\|scale analysis technique in the time domain with a set of new definitions for the power spectrum and cross\|correlation, and a novel w spectrum. Compared to traditional means, the technique is highly sensitive in reflecting the nature of physical processes, especially in X\|ray astronomy where observations have poor statistics and a high background.