Abstract
We consider the problem of estimation of the unknown value of the functionals and which depend on the unknown values of a multidimensional stationary stochastic process based on observations of the process for t < 0 from the class Ξ of processes which satisfy conditions , . The maximum values of the mean-square errors of the optimal estimates of the functionals and are found. It is shown that these maximum values of the errors in the class Ξ give the moving average processes which are determined by eigenvectors of compact operators constructed with the help of the vector-function .
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