On the information guantity in the problem of inverse extrapokation by transfer of stochastic processes in the case of continuous and discrete time observation with the fixed memory | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

HomeIssuesOn the information guantity in the problem of inverse extrapokation by transfer of stochastic processes in the case of continuous and discrete time observation with the fixed memory | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

On the information guantity in the problem of inverse extrapokation by transfer of stochastic processes in the case of continuous and discrete time observation with the fixed memory

The information analysis of the problem of inverse extrapolation (prediction, forecast) for stochastic processes with observations in continuous and discrete time is considered. The observations depend on the current value of the unobservable processes and of its prior value. The equation for joint quantity of the Shannon information is obtained The efficiency of observations with memory in compare with observations without memory for the Omstein-Uhlenbek process is investigated.

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Authors

NameOrganizationE-mail
Dyomin Nikolay S.Tomsk State Universitysev@vmm.tsu.ru
Kadirov Marsel R.Tomsk State Universitysev@vmm.tsu.ru
Всего: 2

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On the information guantity in the problem of inverse extrapokation by transfer of stochastic processes in the case of continuous and discrete time observation with the fixed memory | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

On the information guantity in the problem of inverse extrapokation by transfer of stochastic processes in the case of continuous and discrete time observation with the fixed memory | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

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