Predictability and stochastic realization problem


Ljiljana Petrović




A family $H=(H_t)$, $t\in R$ can be considered as a flora of information representing outputs of a stochastic dynamic system S. We consider the next problem (which follows directly from the realization.problem): how to find, realizations $G=(G_t)$, $t\in R$ of a stochastic dynamic system such that families $H$ and $G$ are equally predictable by each other.