I’m working on a python toolkit one of whose purposes is to see how a model’s solution changes when different methods are used for discretizing the shocks. For this purpose, it would be useful to carry around, in a single object, both the “true” distribution (e.g., “lognormal with mean 1.03 and standard deviation 0.2”) and the discretization (“Gauss-Hermite with 11 nodes”) or whatever.
This seems like a common enough situation that there might be standard tools out there for doing it, but if so I haven’t found them. I’d much rather use an existing standard than make up something myself. Does anybody know if there is any standard for pairing the Platonic description with its discretization.