Information predictability of stochastic processes in discrete time

Abstract

The definition of one-step information predictability stochastic process in discrete time is given. The influence of the accumulation process data on its informational predictability is investigated. Relations connecting the predictability of the whole process with predictability of the individual parameters are obtained. The examples of the definition of information predictability for processes described by linear difference schemes are shown.

Keywords

• прогнозируемость
• стохастический процесс
• оптимальная разностная схема
• одношаговая плотность перехода
• одношаговая информационная прогнозируемость