Discretization of highly persistent correlated AR(1) shocks (Q975894)
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scientific article; zbMATH DE number 5720222
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| English | Discretization of highly persistent correlated AR(1) shocks |
scientific article; zbMATH DE number 5720222 |
Statements
Discretization of highly persistent correlated AR(1) shocks (English)
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11 June 2010
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finite state Markov-chain approximation
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discretization of multivariate autoregressive processes
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transition matrix
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numerical methods
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value function iteration
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0.8482751846313477
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0.7576481699943542
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0.7160083055496216
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0.7108774185180664
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0.7087061405181885
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