Rtauchen

cranv1.0

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

License GPL (>= 2)0 versions1 maintainers1 deps65 weekly dl
davidzarruk/Rtauchen
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First published · 2016-08-07 16:03:20

Last updated · 2016-08-07T22:02:19+00:00