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.

AuthorDavid Zarruk Valencia & Rodrigo Azuero Melo
Date of publication2016-08-07 22:02:19
MaintainerDavid Zarruk Valencia <davidzarruk@gmail.com>
LicenseGPL (>= 2)
Version1.0
https://github.com/davidzarruk/Rtauchen

View on CRAN

Functions

Rtauchen Man page
Tgrid Man page

Files

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

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