Phonocardiogram (PCG) signal represents recording of sounds and murmurs resulting from heart auscultation. Analysis of these PCG signals is critical in diagnosis of different heart diseases. Over the years, a variety of methods have been proposed for automatic analysis of PCG signals in time, frequency, and time-frequency domains. This paper presents a comprehensive survey of different methods proposed for automatic analysis of PCG signals with the objective to evaluate the current state-of-the-art and to determine the potential domains of effective analysis. An important aspect of our contribution is that the review is carried out as a function of domains of analysis rather than simply discussing different methods. Our method further splits analysis into pre-processing, localization, and classification, and details are presented in terms of techniques and classifiers used during these phases. Finally, results are summarized for normal heart beat, noisy heart beat, and different pathologies using metrices like accuracy and detection rate. In addition to time and frequency domain, time-frequency based methods including wavelet, empirical mode decomposition (EMD) and time-frequency representation (TFR) are selected for detailed analysis. The review concludes that the time-frequency representations like EMD and wavelets represent areas of exploration in future along with perspective of using different time-frequency techniques together.