kendallRandomWalks {kendallRandomWalks}

kendallRandomWalks: explore and visualize Kendall random walks.

Description

Kendall random walks are Markov processes generated by the Kendall convolution. This package helps simulate and visualize these random walks and associated distributions. It also provides function to fit these distributions to data.

Important functions

simulate_kendall_rw simulates Kendall random walks.

transform_kendall_rw applies scaling and shift to simulated Kendall r.w-s.

ladder_moment estimates the distribution of first ladder moment by simulating Kendall random walks.

ladder_height estimates the distribution of first ladder height by simulating Kendall random walks.

ladder_moment_pmf computes the PMF of the distribution of first ladder moment.

g_function Finds the value of G(t) numerically.

pkend, dkend, qkend, rkend give CDF, PDF, quantile function and random numbers from stable Kendall distribution.