Simulate and Visualize Kendall Random Walks and Related Distributions
Fit stable Kendall distribution for given data and m_alpha function.
Function for fitting stable Kendall distribution separately to two par...
Fit stable Kendall distribution with one parameter (alpha)
Gradient of minus loglikelihood for stable Kendall distribution with 3...
Negative loglikelihood for stable Kendall distr. with 3 parameters.
Function G(t) - Williamson transform taken at point 1/t.
Function G(t) - Williamson transform taken at point 1/t.
Log-likelihood for stable kendall distribution with m_alpha = 1
kendallRandomWalks: explore and visualize Kendall random walks.
Estimate the distribution of first ladder height for given level
Estimate the distribution of first ladder moment for given level
Distribution of the first ladder moment.
Mutate each trajectory.
CDF of Kendall stable distribution
CDF of symmetrical Kendall stable distribution
Generic function for plotting results of ladder_moment function.
QQ-plot for the result of fitting stable Kendall distribtion.
Generic function that draws simulated trajectories of Kendall random w...
Plot summary of Kendall random walk simulations.
Generic function for printing result of ladder_moment function
Generic function that prints information about simulated Kendall rando...
Print summary of Kendall random walk simulations.
Quantiles of Kendall stable distribution
Quantiles of symmetrical Kendall stable distribution
Helper function
Pseudo-random number from Kendall stable distribution
Simulate multiple trajectories of Kendall random walk
Simulate one trajectory ofa Kendall random walk
Calculate some characteristic for every simulated instance.
Transforming (scaling and shifting) Kendall random walks
Helper function
Helper function: min/max
PDF of Kendall stable distribution
Fit alpha parameter using MLE for distribution with one parameter
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>.