Simulations and distributions related to Kendall random walks: visit dedicated project page on Researchgate
Install the newest version:
devtools::install_github(“mstaniak/kendallRandomPackage”)
Help: >?kendallRandomPackage
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.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 vignette 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.
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.