library(Rtauchen)
# This example computes the transition probability matrix of the finite-state Markov chain approximation of an AR(1) process with:
# n = 5 points in the Markov chain
# ssigma = 0.02
# lambda = 0.95
# m = 3
results = Rtauchen(5, 0.02, 0.98, 3)
results
# [,1] [,2] [,3] [,4] [,5]
# [1,] 9.997372e-01 2.627787e-04 0.000000e+00 0.000000e+00 0.000000e+00
# [2,] 4.433929e-05 9.998073e-01 1.483662e-04 0.000000e+00 0.000000e+00
# [3,] 6.080528e-30 8.198697e-05 9.998360e-01 8.198697e-05 0.000000e+00
# [4,] 2.785418e-78 3.349819e-29 1.483662e-04 9.998073e-01 4.433929e-05
# [5,] 3.015878e-150 4.649139e-77 1.804292e-28 2.627787e-04 9.997372e-01
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