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

Authors:
Nikolas Dyomin;Irina Safronova;Svetlana Rozhkova
Affiliations:
Department of Applied Mathematics and Cybernetics, Tomsk State University, 36 Lenin ave., Tomsk, Russia, e-mail: svrhm@mail2000.ru;Department of Applied Mathematics and Cybernetics, Tomsk State University, 36 Lenin ave., Tomsk, Russia, e-mail: svrhm@mail2000.ru;Department of Natural Sciences and Mathematics, Tomsk Polytechnic University, 30 Lenin ave., Tomsk, Russia, e-mail: svrhm@rambler.ru
Venue:
Informatica
Year:
2004

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Information Amount Determination for Joint Problem of Filtering and Generalized Extrapolation of Stochastic Processes with Respect to the Set of Continuous and Discrete Memory Observations

Informatica

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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.