  We use nowdays classical theory of generalized moment problems by
Krein-Nudelman [1977] to define a special class of stochastic Gaussian
processes. The class contains, of course, stationary Gaussian processes. We
obtain a spectral representation for the processes from this class and we solve
the corresponding prediction problem. The orthogonal rational functions on the
unit circle lead to a class of Gaussian processes providing an example for the
above construction.
