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Unify and improve tauchen and rouwenhorst #363

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jstac opened this issue Oct 24, 2017 · 0 comments · Fixed by #664
Closed

Unify and improve tauchen and rouwenhorst #363

jstac opened this issue Oct 24, 2017 · 0 comments · Fixed by #664

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@jstac
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jstac commented Oct 24, 2017

The arguments to these two functions have different order, even though they do something very similar.

I think it would be worth breaking backwards compatibility to fix this. We just need to take care to update the lectures accordingly.

Also, ybar is missing from tauchen and it would be good to have it.

See http://quanteconpy.readthedocs.io/en/latest/markov/approximation.html

I propose that we change the signature of tauchen to tauchen(n, ybar, sigma, rho, m=3).

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