What is the topic of auto regresive in math?

[stn]

I have a model (autoregressive model) described as follows:
Y(n)=Y(n-1)*c
This model in math, is it considered non-linear? In DSP (digital signal processing), it is called autoregressive.
Why in math, this model is not studied? Or, what is the name of the topic discussing this model? (i want to explore more about this topic but can't find in math books).thanks

 

[jbunniii]

I would call it a 1st order linear recurrence relation. Much more detail at the Wiki page:

http://en.wikipedia.org/wiki/Recurrence_relation

 

[Stephen Tashi]

If you want models that add "noise" to the picture, see "autogressive integrated moving average" (ARIMA) models or "Box-Jenkins" models.

 

[stn]

Thank you jbunni & Stephen. I now remember studying this model in discrete math.
I appreciate your help.

 

[stn]

Any good book describing recurrence relation or difference equations?
I hardly found this topic is disccussed in math books. Often differential equations but not difference equations.

thanks

 

[jbunniii]

Concrete Mathematics spends a couple of chapters on recurrences

Also check out this pdf: generatingfunctionology which is also available as a book

 

[Stephen Tashi]

https://www.amazon.com/dp/0486650847/?tag=pfamazon01-20

 

[stn]

thanks for the recommended books from both of you :)