OPTIMAL LINEAR FILTERING AND EXTRAPOLATION OF REALIZATIONS OF A VECTOR RANDOM FUNCTION OBSERVED WITH ERRORS

摘要

A SOLUTION TO AN OPTIMAL LINEAR FILTERING AND EXTRAPOLATION PROBLEM IS PROPOSED. The investigation object is a realization of multidimensional random function, which is measured with random errors. The solution method does not put any essential constraints on the investigated random function, measurement error characteristics, and on the character of relations between them. The solution is based on Pugachov's canonical decomposition of the investigated random function, and its form is convenient for Use with a computer.