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.
| Version: | 1.0 |
| Imports: | stats |
| Published: | 2016-08-07 |
| Author: | David Zarruk Valencia & Rodrigo Azuero Melo |
| Maintainer: | David Zarruk Valencia <davidzarruk at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/davidzarruk/Rtauchen |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | Rtauchen results |
| Reference manual: | Rtauchen.pdf |
| Package source: | Rtauchen_1.0.tar.gz |
| Windows binaries: | r-prerel: Rtauchen_1.0.zip, r-release: Rtauchen_1.0.zip, r-oldrel: Rtauchen_1.0.zip |
| macOS binaries: | r-prerel (arm64): Rtauchen_1.0.tgz, r-release (arm64): Rtauchen_1.0.tgz, r-oldrel (arm64): Rtauchen_1.0.tgz, r-prerel (x86_64): Rtauchen_1.0.tgz, r-release (x86_64): Rtauchen_1.0.tgz |
| Reverse imports: | sgmodel |
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