Rtauchen: Discretization of AR(1) Processes

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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.

Author
David Zarruk Valencia & Rodrigo Azuero Melo
Date of publication
2016-08-07 22:02:19
Maintainer
David Zarruk Valencia <davidzarruk@gmail.com>
License
GPL (>= 2)
Version
1.0
URLs

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Man pages

Rtauchen
Rtauchen
Tgrid
Tgrid

Files in this package

Rtauchen
Rtauchen/NAMESPACE
Rtauchen/demo
Rtauchen/demo/example1.R
Rtauchen/demo/00Index
Rtauchen/demo/example2.R
Rtauchen/R
Rtauchen/R/tauchen.R
Rtauchen/README.md
Rtauchen/MD5
Rtauchen/DESCRIPTION
Rtauchen/man
Rtauchen/man/Tgrid.Rd
Rtauchen/man/Rtauchen.Rd