Two stationary and stationary connected random processes with the rational spectral densities are studied. The filtration (the forecasting) of the first, process in the Rosanov's sense is presented in the form of the integral containing observations over the second process. The filtration error is found. Both the continuous and the discrete time is studied. Some examples are given.

Original languageRussian
Pages (from-to)55-60
Number of pages6
JournalVestnik Sankt-Peterburgskogo Universiteta. Ser 1. Matematika Mekhanika Astronomiya
Issue number1
StatePublished - 2004

    Scopus subject areas

  • Mathematics(all)
  • Physics and Astronomy(all)

ID: 15681296