Discrete time series analysis

#1
Hello everybody,

Well, as student I'm working this last year on my bachelor proof. The subject I'd chosen is discrete (integer) valued time series analysis.

Does anybody know sth about this? Cause I got a question concerning the paper of P.A.W Lewis and P.A. Jacobs 'discrete time series generated by mixtures I'.

The discrete arma-model is DARMA( 1,N+1):

\( X_i =\ U_n \ Y_(n-S_n) +\ (1- U_n)\ (A_(n-(N+1)) \)

and

\( A_n =\ V_n A_(n-1) +\ (1- V_n) (Y_n)\)


The authors expand the \( A_n \) to \( A_(-N+1) \), and this step I don't get it...

if somebody has ever seen this model before, let me know please.

Thanks a lot, :tup: