kendallRandomWalks

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.