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Rtauchen
View on CRAN: Click
here
Download and install Rtauchen package within the R console
Install from CRAN:
install.packages("Rtauchen")
Install from Github:
library("remotes")
install_github("cran/Rtauchen") Install by package version:
library("remotes")
install_version("Rtauchen", "1.0") Attach the package and use:
library("Rtauchen")
Maintained by
David Zarruk Valencia
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[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-08-07
Latest Update: 2016-08-07
Description:
Discretize AR(1) process following Tauchen (1986) . 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.
How to cite:
David Zarruk Valencia (2016). Rtauchen: Discretization of AR(1) Processes. R package version 1.0, https://cran.r-project.org/web/packages/Rtauchen. Accessed 11 Mar. 2026.
Previous versions and publish date:
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Complete documentation for Rtauchen
Functions, R codes and Examples using
the Rtauchen R package
Some associated functions: Rtauchen . Tgrid .
Some associated R codes: tauchen.R . Full Rtauchen package functions and examples
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