The serial dependence of categorical data is commonly described using Markovian models. Such models are very flexible, but they can suffer from a huge number of parameters if the state space or the model order becomes large. To address the problem of a large number of model parameters, the class...

The serial dependence of categorical data is commonly described using Markovian models. Such models are very flexible, but they can suffer from a huge number of parameters if the state space or the model order becomes large. To address the problem of a large number of model parameters, the class...

The purpose of this paper is to examine the covariance structure of mixed ARMA models, as discussed in Granger and Morris (1976). The method we use to obtain the autocovariances is based on the Wold representation of an ARMA model as it is given in Pandit (1973) or in Karanasos (2000). We give...