About Structure of Shannon Information Amount for Joint Filtering and Extrapolation Problem by Continuous‐Discrete Memory Observations

Abstract

In this paper on basis of the results (Dyomin et al., 2003a) the structure of Shannon information amount in the joint filtering and extrapolation problem of the stochastic processes by continuous-discrete time memory observations is investigated. For particular class of processes with applying of the general results the problem of optimal transmission over the lag channels is considered and efficiency of filtering and extrapolation receptions under transmission over channels with memory or lag is investigated.