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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.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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