Information Analysis in Joint Problem of Continuous-Discrete Filtering, Interpolation and Extrapolation with Memory Observations

This paper considers an information aspect of the joint filtering, interpolation and extrapolation prob- lem, when the output of observation channels is the set of realizations of the processes with continuous and discrete time, which depends on both the cur- rent and the past values of unobservable process. The expressions, defined time evolution of Shannon infor- mation amounts, are obtained and the solution struc- ture is researched.1