%0 Journal Article %1 Tauchen1986177 %A Tauchen, George %D 1986 %J Economics Letters %K approximation_methods dynamic_programming markov_chains numerics %N 2 %P 177 - 181 %R 10.1016/0165-1765(86)90168-0 %T Finite state markov-chain approximations to univariate and vector autoregressions %U http://www.sciencedirect.com/science/article/pii/0165176586901680 %V 20 %X The paper develops a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required.

@article{Tauchen1986177, abstract = {The paper develops a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. }, added-at = {2013-06-06T19:39:35.000+0200}, author = {Tauchen, George}, biburl = {https://www.bibsonomy.org/bibtex/2dfa6fb56efbc2301e3225b781633c6cc/jp}, description = {ScienceDirect.com - Economics Letters - Finite state markov-chain approximations to univariate and vector autoregressions}, doi = {10.1016/0165-1765(86)90168-0}, interhash = {0619634620978e8524622d3c0f60185c}, intrahash = {dfa6fb56efbc2301e3225b781633c6cc}, issn = {0165-1765}, journal = {Economics Letters }, keywords = {approximation_methods dynamic_programming markov_chains numerics}, number = 2, pages = {177 - 181}, timestamp = {2013-06-06T19:39:35.000+0200}, title = {Finite state markov-chain approximations to univariate and vector autoregressions }, url = {http://www.sciencedirect.com/science/article/pii/0165176586901680}, volume = 20, year = 1986 }