Rtauchen
Discretization of AR(1) Processes
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.
- Version1.0
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release08/07/2016
Documentation
Team
David Zarruk Valencia & Rodrigo Azuero Melo
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Dependencies
- Reverse Imports1 package