Statistical analysis of multidimensional filters driven non-Gaussian non-white noises

The problem of the statistical analysis of the multidimensional linear filters is considered on the base of kinetic equations for the non-markovian stochastic processes. The kinetic coefficients are calculated using the convolution integral instead of the system of differential equations. The advantage of this method is a reduction of the dimension of the problem. Two examples are given and some results of a statistical simulation are presented.