rouwenhorst: rouwenhorst discretization for AR1

In tlamadon/rutils: Some utility functions

Description

translation of http://www.karenkopecky.net/rouwenhorst.m

Usage

rouwenhorst(rho, sigma, mu = 0, n)

Arguments

rho	first order autocorrelation
sigma	standard deviation of error term
mu	mean of error term
n	number of points to use in approximation

Value

list with Pmat (transition matrix) and zgrid (grid points)

References

http://www.karenkopecky.net/RouwenhorstPaperFinal.pdf

Examples

R <- rouwenhorst(rho=0.9,sigma=1.1,mu=0,n=5)
print(R$zgrid)	# support points
print(R$Pmat)	# transition matrix
print(rowSums(R$Pmat))

tlamadon/rutils documentation built on May 31, 2019, 3:49 p.m.