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.

Install the latest version of this package by entering the following in R:
install.packages("Rtauchen")
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

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

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