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.

Getting started

Package details

AuthorDavid Zarruk Valencia & Rodrigo Azuero Melo
MaintainerDavid Zarruk Valencia <[email protected]>
LicenseGPL (>= 2)
URL https://github.com/davidzarruk/Rtauchen
Package repositoryView on CRAN
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Rtauchen documentation built on May 1, 2019, 10:17 p.m.