Prediction for two processes and the Nehari problem (Q675073)

Nehari's trigonometric moment problem is the following: When one-sided \(\{\gamma_j\}\) \((j\leq 0)\) coincides with the corresponding Fourier coefficients of a function in modulus by 1. The analog between Nehari's moment problem and prediction theory for random processes is derived. This approach gives an opportunity to obtain some assertions from prediction theory for two stationary stochastic processes. The unified treatment of the Nehari moment problem is also obtained.