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 2911 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks Rtauchen results

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Maintainer

Maintainer

David Zarruk Valencia

[email protected]

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