  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. If
autoregressive models are used, however, 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 a sample of
Active Galactic Nuclei (AGN) observed with EXOSAT and found evidence for a
relationship between the relaxation timescale and the spectral hardness.
