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Description of Statistical Computation

Author's title

Author*The author of this computation has been verified*
R Software Moduleqrwid.wasp
Title produced by softwareQuasi Random-Walk Identification
Date of computationTue, 30 Nov 2010 13:06:56 +0000
Cite this page as followsStatistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2010/Nov/30/t1291122296087t67c5yw43boa.htm/, Retrieved Mon, 29 Apr 2024 09:17:53 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103370, Retrieved Mon, 29 Apr 2024 09:17:53 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact123

Tree of Dependent Computations

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
-     [Quasi Random-Walk Identification] [alt 3m 120] [2010-11-30 12:43:52] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D  [Quasi Random-Walk Identification] [alt 3m 500] [2010-11-30 12:48:25] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D    [Quasi Random-Walk Identification] [alt american expr...] [2010-11-30 12:53:38] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D      [Quasi Random-Walk Identification] [alt american expr...] [2010-11-30 12:56:16] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D        [Quasi Random-Walk Identification] [alt at&t 120] [2010-11-30 12:59:02] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D          [Quasi Random-Walk Identification] [alt at&t 500] [2010-11-30 13:00:54] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D            [Quasi Random-Walk Identification] [alt bank 120] [2010-11-30 13:03:13] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D              [Quasi Random-Walk Identification] [alt bank 500] [2010-11-30 13:04:53] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D                  [Quasi Random-Walk Identification] [alt boeing 120] [2010-11-30 13:06:56] [81b44bf7e2a3251743773b0d7e91dd87] [Current]
-    D                    [Quasi Random-Walk Identification] [alt boeing 500] [2010-11-30 13:08:10] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D                      [Quasi Random-Walk Identification] [alt caterpillar 120] [2010-11-30 13:14:03] [6e6854a111a7f2438dd668bfaa6f3aa0]
-    D                        [Quasi Random-Walk Identification] [alt caterpillar 500] [2010-11-30 13:15:31] [6e6854a111a7f2438dd668bfaa6f3aa0]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
64.36
64.8
65.41
63.6
64.03
63.59
64.61
62.5
62.78
63.61
63.09
65.37
67.07
69.25
70.21
71.27
70.85
68.94
69.78
70.48
70.64
71.27
70.86
71.3
71.66
71.26
71.5
71.36
69.05
70.23
70.11
71.36
71.47
70.22
69.99
69.23
68.46
68.58
68.6
66.33
66.83
66.54
65.97
64.52
63.89
64.6
62.65
63.9
64.23
63.72
62.95
62.58
62.73
62.76
64.19
63.84
63.44
64.5
63.42
64.64
63.39
62.29
61.13
62.1
63.16
61.32
60.76
60.93
63.3
64.6
64.62
66
65.99
64.4
64.84
64.7
65.6
68.62
68.99
68.7
68.71
69.25
69.54
69.69
68.14
67.22
67.32
68.62
68.85
67.93
66.6
63.18
63.88
63.18
61.9
64.37
64.75
64.43
64.34
64.66
64.73
63.3
61.36
61.94
62.26
62.75
63.04
67.3
68.77
67.43
67.45
66.28
67.97
67.96
67.26
67.03
67.48
64.82
65.38
63.89
61.71

Tables (Output of Computation)





Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)Value
Kurtosis (small sample)1.078676
Kurtosis S.E. (small sample)0.438331
TEST 1 (small sample)2.460873
TEST 1 Prob. (small sample)0.013600
Quasi Random-Walk probability0.897562
Kurtosis (large sample)0.984666
Kurtosis S.E. (large sample)0.447214
TEST 1 (large sample)2.201779
TEST 1 Prob. (large sample)0.027200
Quasi Random-Walk probability0.747165

\begin{tabular}{lllllllll}
\hline

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model \tabularnewline
Statistics of (1-B)lnY(t)Value \tabularnewline Kurtosis (small sample)1.078676 \tabularnewline Kurtosis S.E. (small sample)0.438331 \tabularnewline TEST 1 (small sample)2.460873 \tabularnewline TEST 1 Prob. (small sample)0.013600 \tabularnewline Quasi Random-Walk probability0.897562 \tabularnewline \tabularnewline Kurtosis (large sample)0.984666 \tabularnewline Kurtosis S.E. (large sample)0.447214 \tabularnewline TEST 1 (large sample)2.201779 \tabularnewline TEST 1 Prob. (large sample)0.027200 \tabularnewline Quasi Random-Walk probability0.747165 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=103370&T=0

[TABLE]

[ROW][C]Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model[/C][/ROW]

[ROW]
Statistics of (1-B)lnY(t)[/C]Value[/C][/ROW] [ROW][C]Kurtosis (small sample)[/C]1.078676[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]0.438331[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]2.460873[/C][/ROW] [ROW][C]TEST 1 Prob. (small sample)[/C]0.013600[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.897562[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]0.984666[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]0.447214[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]2.201779[/C][/ROW] [ROW][C]TEST 1 Prob. (large sample)[/C]0.027200[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.747165[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=103370&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103370&T=0

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The GUIDs for individual cells are displayed in the table below:

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)Value
Kurtosis (small sample)1.078676
Kurtosis S.E. (small sample)0.438331
TEST 1 (small sample)2.460873
TEST 1 Prob. (small sample)0.013600
Quasi Random-Walk probability0.897562
Kurtosis (large sample)0.984666
Kurtosis S.E. (large sample)0.447214
TEST 1 (large sample)2.201779
TEST 1 Prob. (large sample)0.027200
Quasi Random-Walk probability0.747165


Figures (Output of Computation)

Input Parameters & R Code

Parameters (Session):
Parameters (R input):
R code (references can be found in the software module):