knitr::opts_chunk$set( collapse = TRUE, comment = "#>" )
# uzupelnic fig_captions, zeby dalo sie je zrobic library(kendallRandomWalks) kendall_rws <- simulate_kendall_rw(10, 100, runif, 0.25) kendall_rws plot(kendall_rws) plot(simulate_kendall_rw(10, 100, rnorm, 0.76), level = 300)
Symmetric
kendall_rws_sym <- simulate_kendall_rw(10, 100, rnorm, 0.76, T) kendall_rws_sym plot(kendall_rws_sym)
kendall_rws2 <- simulate_kendall_rw(1000, 100, runif, 0.25) ladder_moments <- ladder_moment(kendall_rws2, 1000) ladder_moments plot(ladder_moments) ladder_heights <- ladder_height(kendall_rws2, 2000) ladder_heights plot(ladder_heights)
Exact first ladder moments distribution with $G(a)$ computed numerically.
y <- seq(10, 10000, 50) ladders <- sapply(y, function(x) ladder_moment_pmf(10, x, 0.5, pnorm, dnorm)) plot(y, ladders) y <- seq(2000, 2200, 1) plot(y, g_function(y, 0.1, dnorm)) plot(seq(0, 400, by = 1), g_function(seq(0, 400, by = 1), 0.5, dunif))
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