Hannan, E. J.; Rissanen, J. The width of a spectral window. (English) Zbl 0661.62092 A celebration of applied probability, J. Appl. Probab., Spec. Vol. 25A, 301-307 (1988). [For the entire collection see Zbl 0654.00009.] A method for choosing the width of a spectral window in the spectral estimation of a stationary time series is derived and two examples of applications considered. The method uses a criterion derived from the idea of stochastic complexity, i.e. a measure of the length of a code for the data in bits. Reviewer: Ed.McKenzie Cited in 1 Document MSC: 62M15 Inference from stochastic processes and spectral analysis Keywords:bandwidth; conjugate prior; spectral estimation; stationary time series; stochastic complexity Citations:Zbl 0654.00009 PDFBibTeX XML