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.

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

Downloads:

Reference manual: Rtauchen.pdf
Package source: Rtauchen_1.0.tar.gz
Windows binaries: r-devel: Rtauchen_1.0.zip, r-release: Rtauchen_1.0.zip, r-oldrel: Rtauchen_1.0.zip
OS X El Capitan binaries: r-release: Rtauchen_1.0.tgz
OS X Mavericks binaries: r-oldrel: Rtauchen_1.0.tgz

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