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The width of a spectral window. (English) Zbl 0661.62092

[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

MSC:

62M15 Inference from stochastic processes and spectral analysis

Citations:

Zbl 0654.00009