DESCRIPTION

Package: Rtauchen
Type: Package
Title: Discretization of AR(1) Processes
Version: 1.0
Date: 2016-08-01
Author: David Zarruk Valencia & Rodrigo Azuero Melo
URL: https://github.com/davidzarruk/Rtauchen
Maintainer: David Zarruk Valencia <davidzarruk@gmail.com>
Description: 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. 
License: GPL (>= 2)
Imports: stats
Packaged: 2016-08-07 19:50:26 UTC; rodrigoazuero
NeedsCompilation: no