Add an alternative way of implementing Tauchen's method to `make_tauchen_ar1()`

DocFacTor commented 1 month ago

By Qingyuan Fang

Please ensure your pull request adheres to the following guidelines:

[ ] Tests for new functionality/models or Tests to reproduce the bug-fix in code.
[ ] Updated documentation of features that add new functionality.
[ ] Update CHANGELOG.md with major/minor changes.

mnwhite commented 1 month ago

Ruff is mad at two lines with improper whitespace, but otherwise this passes checks. This is functionality that we want, as it addresses true truncated processes, rather than those that are truncated as a matter of approximation.

Should probably add a test using the new feature, and do some sanity checks on its results.

llorracc commented 1 month ago

@mnwhite perhaps you could explain to what we mean by "a test using the new feature, and a sanity check on the results." Like, presumably, showing that the two methods get very close as the number of gridpoints increases?

mnwhite commented 1 month ago

Yes, but that was mostly a note to myself, and an indicator that the PR had been seen. I'll write more in the morning.

On Mon, Apr 15, 2024, 10:56 PM Christopher Llorracc Carroll < @.***> wrote:

@mnwhite https://github.com/mnwhite perhaps you could explain to what we mean by "a test using the new feature, and a sanity check on the results." Like, presumably, showing that the two methods get very close as the number of gridpoints increases?

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econ-ark / HARK

Add an alternative way of implementing Tauchen's method to `make_tauchen_ar1()` #1409