Simulations and distributions related to Kendall random walks: visit dedicated project page on Researchgate
To get started, install stable CRAN version
install.packages("kendallRandomWalks")
or the newest version from Github:
devtools::install_github("mstaniak/kendallRandomPackage")
Help:
?kendallRandomWalks
Main functionalities:
simulate_kendall_rw
functions simulates Kendall random walks for a given step distribution. The simulation can be then plotted using generic plot
function.transform_kendall_rw
function allows user to play with different scalings and transformations of Kendall random walks to study its properties related to convergence.summarise_kendall_rw
and mutate_kendall_rw
functions allow user to modify or summarise simulated trajectories.ladder_moment
and ladder_height
functions help study distribution of first ladder moment and first ladder height empirically.ladder_moment_pmf
gives exact PMF for first ladder moment.pkend
, dkend
, qkend
and rkend
are typical functions related to the stable Kendall distribution.g_function
calculates Williamson transform numerically.See vignettes for examples.
If you have a feature request or you found a bug, please leave an issue.
The goal of this package is to let anyone interested in Kendall convolution/generalized convolutions get familiar with them through visual means and experimentation and aid research in this area by providing tools for simulations.
Acknowledgement
This work is a part of project "First order Kendall maximal autoregressive processes and their applications", which is carried out within the POWROTY/REINTEGRATION programme of the Foundation for Polish Science co-financed by the European Union under the European Regional Development Fund.
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