kendallRandomWalks-package |
kendallRandomWalks: explore and visualize Kendall random walks. |
dkend |
PDF of Kendall stable distribution |
estimate_stable_alpha |
Fit alpha parameter using MLE for distribution with one parameter |
fit_kendall |
Fit stable Kendall distribution for given data and m_alpha function. |
fit_separate |
Function for fitting stable Kendall distribution separately to two parts of data |
fit_stable_alpha |
Fit stable Kendall distribution with one parameter (alpha) |
full_loglik_gradient |
Gradient of minus loglikelihood for stable Kendall distribution with 3 parameters. |
full_minus_loglik |
Negative loglikelihood for stable Kendall distr. with 3 parameters. |
g_function |
Function G(t) - Williamson transform taken at point 1/t. |
g_function_single |
Function G(t) - Williamson transform taken at point 1/t. |
kendallRandomWalks |
kendallRandomWalks: explore and visualize Kendall random walks. |
kendall_loglik |
Log-likelihood for stable kendall distribution with m_alpha = 1 |
ladder_height |
Estimate the distribution of first ladder height for given level |
ladder_moment |
Estimate the distribution of first ladder moment for given level |
ladder_moment_pmf |
Distribution of the first ladder moment. |
mutate_kendall_rw |
Mutate each trajectory. |
pkend |
CDF of Kendall stable distribution |
pkendSym |
CDF of symmetrical Kendall stable distribution |
plot.kendall_barrier_crossing |
Generic function for plotting results of ladder_moment function. |
plot.kendall_fit |
QQ-plot for the result of fitting stable Kendall distribtion. |
plot.kendall_simulation |
Generic function that draws simulated trajectories of Kendall random walk |
plot.kendall_summary |
Plot summary of Kendall random walk simulations. |
print.kendall_barrier_crossing |
Generic function for printing result of ladder_moment function |
print.kendall_simulation |
Generic function that prints information about simulated Kendall random walk |
print.kendall_summary |
Print summary of Kendall random walk simulations. |
qkend |
Quantiles of Kendall stable distribution |
qkendSym |
Quantiles of symmetrical Kendall stable distribution |
Qn |
Helper function |
rkend |
Pseudo-random number from Kendall stable distribution |
simulateOneTrajectory |
Simulate one trajectory ofa Kendall random walk |
simulate_kendall_rw |
Simulate multiple trajectories of Kendall random walk |
summarise_kendall_rw |
Calculate some characteristic for every simulated instance. |
transform_kendall_rw |
Transforming (scaling and shifting) Kendall random walks |
U |
Helper function |
Z |
Helper function: min/max |