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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0 |
rolling linux/jammy R-4.5 | Rtauchen_1.0.tar.gz |
12.1 KiB |
1.0 |
rolling linux/noble R-4.5 | Rtauchen_1.0.tar.gz |
12.1 KiB |
1.0 |
rolling source/ R- | Rtauchen_1.0.tar.gz |
3.0 KiB |
1.0 |
latest linux/jammy R-4.5 | Rtauchen_1.0.tar.gz |
12.1 KiB |
1.0 |
latest linux/noble R-4.5 | Rtauchen_1.0.tar.gz |
12.1 KiB |
1.0 |
latest source/ R- | Rtauchen_1.0.tar.gz |
3.0 KiB |
1.0 |
2026-04-26 source/ R- | Rtauchen_1.0.tar.gz |
3.0 KiB |
1.0 |
2026-04-23 source/ R- | Rtauchen_1.0.tar.gz |
3.0 KiB |
1.0 |
2026-04-09 windows/windows R-4.5 | Rtauchen_1.0.zip |
15.5 KiB |
1.0 |
2025-04-20 source/ R- | Rtauchen_1.0.tar.gz |
3.0 KiB |