Description Usage Arguments Value References Examples
translation of http://www.karenkopecky.net/rouwenhorst.m
1 | rouwenhorst(rho, sigma, mu = 0, n)
|
rho |
first order autocorrelation |
sigma |
standard deviation of error term |
mu |
mean of error term |
n |
number of points to use in approximation |
list with Pmat (transition matrix) and zgrid (grid points)
http://www.karenkopecky.net/RouwenhorstPaperFinal.pdf
1 2 3 4 |
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