Suppose M is the set of all sequences, infinite in both directions x = (..., y-1, y0, y1,...), whose coordinates y i are points of a fixed measurable space (Y, 𝔄). M possesses a natural σ-algebra 𝔖 generated by cylindrical sets, i.e., sets of the form $$ A = \{ x = (...,{y_{{ - 1}}},{y_{0}},{y_{1}},...) \in M:{y_{{{i_{1}}}}} \in {C_{1}},...,{y_{{{i_{r}}}}} \in {C_{r}}\} , $$ (1) where 1 ≤ r < ∞, i1,..., i r are integers and C1,..., C r ∈ 𝔄. Suppose μ is a normalized measure on 𝔖 and 𝔖 is the completion of 𝔖 with respect to the measure μ. In probability theory the triple (M, 𝔖, μ) is said to be a discrete time random process and the space (Y, 𝔄) is the state space of this process.