Package: Rtauchen 1.0

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.

Authors:David Zarruk Valencia & Rodrigo Azuero Melo

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Bug tracker:https://github.com/davidzarruk/rtauchen/issues

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Exports:RtauchenTgrid

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