We consider the problem of approximating a multidimensional stationary processy(t) of McMillan degreenwith another stationary processyk(t) of McMillan degreek<nminimizing theL2- norm of the difference in the predictions fory(t) andyk(t). We prove that one solution to this problem can be obtained by using the optimal Hankel approximant of the ‘phase’ function ofyk(t),t∈Z.