Rtauchen
cranv1.0Discretization 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
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curl https://depscope.dev/api/check/cran/RtauchenFirst published · 2016-08-07 16:03:20
Last updated · 2016-08-07T22:02:19+00:00