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tauchen

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DiscretizeVAR

gabrielgggg / DiscretizeVAR

Discretize VAR(1) of arbitrary size, with arbitrary covariance matrix for innovations, and optional stochastic volatility.

cpp matlab markov-chain hdf5 var discretization armadillo-library tauchen stochastic-volatility non-tensor-grid discretize

Updated Nov 8, 2021
C++

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