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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Rtauchen/json (API)

# Install 'Rtauchen' in R:
install.packages('Rtauchen', repos = c('https://davidzarruk.r-universe.dev', 'https://cloud.r-project.org'))

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

On CRAN:

3.48 score 2 stars 1 packages 7 scripts 140 downloads 2 exports 0 dependencies

Last updated 9 years agofrom:f23fd6e118. Checks:8 OK. Indexed: yes.

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