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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1965 Volume 10, Issue 2, Pages 323–328 (Mi tvp526)

This article is cited in 12 papers

On the computation of the likelihood ratio for Gaussian processes with a —rational spectrum

V. F. Pisarenko

Moscow

Abstract: 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.


 English version:
Theory of Probability and its Applications, 1965, 10:2, 299–303

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