Rtauchen

Discretization of AR(1) Processes

CRAN Package

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.


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  • Reverse Imports1 package