On the evaluation of the likehood ratio for a~Gaussian generalized stochastic process with rational spectral density
Teoriâ veroâtnostej i ee primeneniâ, Tome 19 (1974) no. 2, pp. 426-430
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An explicit formula is given for the Radon–Nikodym derivative of the measure corresponding to a generalized Gaussian stationary process with the spectral density (1) where $Q(z)$ and $P(z)$ are some polynomials of the same order with respect to the measure corresponding to “white noise”.
@article{TVP_1974_19_2_a19,
author = {K. O. Dzhaparidze and G. I. Marr},
title = {On the evaluation of the likehood ratio for {a~Gaussian} generalized stochastic process with rational spectral density},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {426--430},
publisher = {mathdoc},
volume = {19},
number = {2},
year = {1974},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1974_19_2_a19/}
}
TY - JOUR AU - K. O. Dzhaparidze AU - G. I. Marr TI - On the evaluation of the likehood ratio for a~Gaussian generalized stochastic process with rational spectral density JO - Teoriâ veroâtnostej i ee primeneniâ PY - 1974 SP - 426 EP - 430 VL - 19 IS - 2 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/TVP_1974_19_2_a19/ LA - ru ID - TVP_1974_19_2_a19 ER -
%0 Journal Article %A K. O. Dzhaparidze %A G. I. Marr %T On the evaluation of the likehood ratio for a~Gaussian generalized stochastic process with rational spectral density %J Teoriâ veroâtnostej i ee primeneniâ %D 1974 %P 426-430 %V 19 %N 2 %I mathdoc %U http://geodesic.mathdoc.fr/item/TVP_1974_19_2_a19/ %G ru %F TVP_1974_19_2_a19
K. O. Dzhaparidze; G. I. Marr. On the evaluation of the likehood ratio for a~Gaussian generalized stochastic process with rational spectral density. Teoriâ veroâtnostej i ee primeneniâ, Tome 19 (1974) no. 2, pp. 426-430. http://geodesic.mathdoc.fr/item/TVP_1974_19_2_a19/