Kendall random walks are a continuous-space Markov chains generated
by the Kendall generalized convolution. This package provides tools
for simulating these random walks and studying distributions
related to them. For more information about Kendall random walks see Jasiulis-Gołdyn (2014)
Simulations and distributions related to Kendall random walks: visit dedicated project page on Researchgate
To get started, install stable CRAN version
or the newest version from Github:
simulate_kendall_rwfunctions simulates Kendall random walks for a given step distribution. The simulation can be then plotted using generic
transform_kendall_rwfunction allows user to play with different scalings and transformations of Kendall random walks to study its properties related to convergence.
mutate_kendall_rwfunctions allow user to modify or summarise simulated trajectories.
ladder_heightfunctions help study distribution of first ladder moment and first ladder height empirically.
ladder_moment_pmfgives exact PMF for first ladder moment.
rkendare typical functions related to the stable Kendall distribution.
g_functioncalculates 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.
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.
EnvStatsdependency replaced by
NEWS.mdfile to track changes to the package.