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
kendallRandomWalks_0.9.4.tar.gz(r-4.5-noble)kendallRandomWalks_0.9.4.tar.gz(r-4.4-noble)
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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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

3.26 score 18 scripts 123 downloads 21 exports 33 dependencies

Last updated 6 years agofrom:0716bb504f. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 21 2024
R-4.5-linuxOKDec 21 2024

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 Dec 21 2024.

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

Studying the behaviour of Kendall random walks

Mateusz Staniak

Rendered frombehaviour.Rmdusingknitr::rmarkdownon Dec 21 2024.

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

Readme and manuals

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