Setting and solution of primal problem of linear optimal filtering

In the work interpretation of time sequences from the viewpoint of dynamic modeling has been considered. The developed technique can be used for the decision of rather wide range of problems, namely: at designing linear optimum filters; separation (division) of mix of signals on components; research of dynamic parameters of time numbers; the frequency analysis and others. In particular, by working out linear optimum filters on a signal unique restriction - invariance in time of its statistician of the second order has been imposed. It can be noticed that the classical approach at the decision of this problem imposes on an investigated signal essential aprioristic restrictions which are actually carried out only for a very narrow class of data.