Optimal Polynomial Extrapolation of Realization of a Random Process with a Filtration of Measurement Errors

摘要

The polynomial algorithm of optimal extrapolation of a random process with a filtration of measurement errors is obtained. The forecasting algorithm, as well as the canonical expansion, taken as a basis, does not impose any significant restrictions on the class of the studied random processes (linearity, Markov property, stationarity, monotony, etc.).