Teoriâ veroâtnostej i ee primeneniâ, Tome 10 (1965) no. 2, pp. 323-328
Citer cet article
V. F. Pisarenko. On the computation of the likelihood ratio for Gaussian processes with a —rational spectrum. Teoriâ veroâtnostej i ee primeneniâ, Tome 10 (1965) no. 2, pp. 323-328. http://geodesic.mathdoc.fr/item/TVP_1965_10_2_a8/
@article{TVP_1965_10_2_a8,
author = {V. F. Pisarenko},
title = {On the computation of the likelihood ratio for {Gaussian} processes with a~{\textemdash}rational spectrum},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {323--328},
year = {1965},
volume = {10},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1965_10_2_a8/}
}
TY - JOUR
AU - V. F. Pisarenko
TI - On the computation of the likelihood ratio for Gaussian processes with a —rational spectrum
JO - Teoriâ veroâtnostej i ee primeneniâ
PY - 1965
SP - 323
EP - 328
VL - 10
IS - 2
UR - http://geodesic.mathdoc.fr/item/TVP_1965_10_2_a8/
LA - ru
ID - TVP_1965_10_2_a8
ER -
%0 Journal Article
%A V. F. Pisarenko
%T On the computation of the likelihood ratio for Gaussian processes with a —rational spectrum
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1965
%P 323-328
%V 10
%N 2
%U http://geodesic.mathdoc.fr/item/TVP_1965_10_2_a8/
%G ru
%F TVP_1965_10_2_a8
The likelihood ratio on a finite interval of time $[0,T]$ for two Gaussian stationary processes with a rational spectrum is computed. Then a simple expression for the principal term of the likelihood ratio as $T\to\infty$ is derived.
