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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 2, Pages 426–430
(Mi tvp2903)
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Short Communications
On the evaluation of the likehood ratio for a Gaussian generalized stochastic process with rational spectral density
K. O. Dzhaparidze, G. I. Marr Tbilisi
Abstract:
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”.
Received: 14.12.1973
Citation:
K. O. Dzhaparidze, G. I. Marr, “On the evaluation of the likehood ratio for a Gaussian generalized stochastic process with rational spectral density”, Teor. Veroyatnost. i Primenen., 19:2 (1974), 426–430; Theory Probab. Appl., 19:2 (1975), 407–410
Linking options:
https://www.mathnet.ru/eng/tvp2903 https://www.mathnet.ru/eng/tvp/v19/i2/p426
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