Package: kendallRandomWalks 0.9.4

Mateusz Staniak

kendallRandomWalks: Simulate and Visualize Kendall Random Walks and Related Distributions

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) <arxiv:1412.0220>.

Authors:Mateusz Staniak [aut, cre]

kendallRandomWalks_0.9.4.tar.gz
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kendallRandomWalks_0.9.4.tgz(r-4.4-emscripten)kendallRandomWalks_0.9.4.tgz(r-4.3-emscripten)
kendallRandomWalks.pdf |kendallRandomWalks.html✨
kendallRandomWalks/json (API)
NEWS

# Install 'kendallRandomWalks' in R:
install.packages('kendallRandomWalks', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

3.00 score 144 downloads 21 exports 33 dependencies

Last updated 7 years agofrom:0716bb504f. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 21 2025
R-4.5-linuxOKMar 21 2025
R-4.4-linuxOKMar 21 2025

Exports:dkendestimate_stable_alphafit_kendallfit_separatefit_stable_alphafull_loglik_gradientfull_minus_loglikg_functiong_function_singleladder_heightladder_momentladder_moment_pmfmutate_kendall_rwpkendpkendSymqkendqkendSymrkendsimulate_kendall_rwsummarise_kendall_rwtransform_kendall_rw

Dependencies:actuarclicolorspacedplyrexpintfansifarvergenericsggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerrlangscalestibbletidyselectutf8vctrsviridisLitewithr

Kendall random walks

Mateusz Staniak

Rendered fromkendall_rws.Rmdusingknitr::rmarkdownon Mar 21 2025.

Last update: 2018-06-06
Started: 2018-06-06

Studying the behaviour of Kendall random walks

Mateusz Staniak

Rendered frombehaviour.Rmdusingknitr::rmarkdownon Mar 21 2025.

Last update: 2018-08-04
Started: 2018-06-06

Citation

To cite package ‘kendallRandomWalks’ in publications use:

Staniak M (2018). kendallRandomWalks: Simulate and Visualize Kendall Random Walks and Related Distributions. R package version 0.9.4, https://CRAN.R-project.org/package=kendallRandomWalks.

Corresponding BibTeX entry: 

  @Manual{,
    title = {kendallRandomWalks: Simulate and Visualize Kendall Random
      Walks and Related Distributions},
    author = {Mateusz Staniak},
    year = {2018},
    note = {R package version 0.9.4},
    url = {https://CRAN.R-project.org/package=kendallRandomWalks},
  }

Readme and manuals

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.

Help Manual

Help pageTopics
PDF of Kendall stable distributiondkend
Fit alpha parameter using MLE for distribution with one parameterestimate_stable_alpha
Fit stable Kendall distribution for given data and m_alpha function.fit_kendall
Function for fitting stable Kendall distribution separately to two parts of datafit_separate
Fit stable Kendall distribution with one parameter (alpha)fit_stable_alpha
Gradient of minus loglikelihood for stable Kendall distribution with 3 parameters.full_loglik_gradient
Negative loglikelihood for stable Kendall distr. with 3 parameters.full_minus_loglik
Function G(t) - Williamson transform taken at point 1/t.g_function
Function G(t) - Williamson transform taken at point 1/t.g_function_single
Log-likelihood for stable kendall distribution with m_alpha = 1kendall_loglik
kendallRandomWalks: explore and visualize Kendall random walks.kendallRandomWalks-package kendallRandomWalks
Estimate the distribution of first ladder height for given levelladder_height
Estimate the distribution of first ladder moment for given levelladder_moment
Distribution of the first ladder moment.ladder_moment_pmf
Mutate each trajectory.mutate_kendall_rw
CDF of Kendall stable distributionpkend
CDF of symmetrical Kendall stable distributionpkendSym
Generic function for plotting results of ladder_moment function.plot.kendall_barrier_crossing
QQ-plot for the result of fitting stable Kendall distribtion.plot.kendall_fit
Generic function that draws simulated trajectories of Kendall random walkplot.kendall_simulation
Plot summary of Kendall random walk simulations.plot.kendall_summary
Generic function for printing result of ladder_moment functionprint.kendall_barrier_crossing
Generic function that prints information about simulated Kendall random walkprint.kendall_simulation
Print summary of Kendall random walk simulations.print.kendall_summary
Quantiles of Kendall stable distributionqkend
Quantiles of symmetrical Kendall stable distributionqkendSym
Helper functionQn
Pseudo-random number from Kendall stable distributionrkend
Simulate multiple trajectories of Kendall random walksimulate_kendall_rw
Simulate one trajectory ofa Kendall random walksimulateOneTrajectory
Calculate some characteristic for every simulated instance.summarise_kendall_rw
Transforming (scaling and shifting) Kendall random walkstransform_kendall_rw
Helper functionU
Helper function: min/maxZ