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Rtauchen: Discretization of AR(1) Processes
Discretize AR(1) process following Tauchen (1986) <http://www.sciencedirect.com/science/article/pii/0165176586901680>. A discrete Markov chain that approximates in the sense of weak convergence a continuous-valued univariate Autoregressive process of first order is generated. It is a popular method used in economics and in finance.
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Package details |
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| Author | David Zarruk Valencia & Rodrigo Azuero Melo |
| Maintainer | David Zarruk Valencia <davidzarruk@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.0 |
| URL | https://github.com/davidzarruk/Rtauchen |
| Package repository | View on CRAN |
| Installation |
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