CRAN/E | Rtauchen

Rtauchen

Discretization of AR(1) Processes

Installation

About

Discretize AR(1) process following Tauchen (1986) . 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.

github.com/davidzarruk/Rtauchen

Key Metrics

Version 1.0
Published 2016-08-07 2871 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks Rtauchen results

Downloads

Yesterday 0
Last 7 days 15 -17%
Last 30 days 85 -47%
Last 90 days 388 -29%
Last 365 days 1.659 -34%

Maintainer

Maintainer

David Zarruk Valencia

Authors

David Zarruk Valencia & Rodrigo Azuero Melo

Material

README
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Imports

stats

Reverse Imports

sgmodel