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.