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|
|Maintainer||David Zarruk Valencia <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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