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Discrete VAR MC approximation of Farmer and Toda
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@sglyon sglyon released this 19 Aug 14:26
· 159 commits to master since this release
v0.13.0
f9a34dd

New Features

  • Added routine to compute a finite-state Markov chain approximation to a VAR(1). Thanks to @Shunsuke-Hori . Algorithm adapted from

Farmer, L. E., & Toda, A. A. (2017).
"Discretizing nonlinear, non‐Gaussian Markov processes with exact conditional moments,"
Quantitative Economics, 8(2), 651-683.

Assets 2
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