  In recent years, autoregressive models have had a profound impact on the
description of astronomical time series as the observation of a stochastic
process. These methods have advantages compared with common Fourier techniques
concerning their inherent stationarity and physical background. However, if
autoregressive models are used, it has to be taken into account that real data
always contain observational noise often obscuring the intrinsic time series of
the object. We apply the technique of a Linear State Space Model which
explicitly models the noise of astronomical data and allows to estimate the
hidden autoregressive process. As an example, we have analysed the X-ray flux
variability of the Active Galaxy NGC 5506 observed with EXOSAT.
