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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 13:50:42 +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/t1291124946kqp0ifo92575p2e.htm/, Retrieved Mon, 29 Apr 2024 08:49:20 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103449, Retrieved Mon, 29 Apr 2024 08:49:20 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact111

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] [] [2010-11-30 13:40:02] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D  [Quasi Random-Walk Identification] [] [2010-11-30 13:44:04] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D    [Quasi Random-Walk Identification] [] [2010-11-30 13:45:23] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D      [Quasi Random-Walk Identification] [] [2010-11-30 13:46:48] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D        [Quasi Random-Walk Identification] [] [2010-11-30 13:48:23] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D            [Quasi Random-Walk Identification] [] [2010-11-30 13:50:42] [5842cf9dd57f9603e676e11284d3404a] [Current]
-    D              [Quasi Random-Walk Identification] [] [2010-11-30 13:52:44] [7d64bf19f34ddcdf2626356c9d5bd60d]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
35000
34981.11875
35196.30678
35405.88422
35113.8129
35429.35409
35607.26568
35824.97093
35556.17002
35510.32241
35488.90631
35309.29254
35470.35712
35433.5228
35731.62048
35396.89356
35391.66213
35261.74177
35561.78816
35465.4066
35449.94859
35684.75958
35411.46798
35362.6057
35134.04962
34832.76696
34983.613
34690.54144
34982.65652
34692.85434
34893.50669
35148.14245
34973.89496
34637.23697
34567.06282
34334.67038
34156.45459
34047.12316
34251.0639
34600.93714
34553.96214
34660.40895
34422.54698
34427.98368
34769.82418
34933.26219
35105.91967
34822.94841
34910.13105
35178.7836
35463.376
35493.22077
35446.67222
35541.3286
35709.55539
36012.73628
35900.201
36139.17208
36122.04345
36049.74239
35928.94169
36193.18871
35911.08923
36160.0674
36422.58855
36690.68797
36443.0207
36750.7634
36639.74876
36412.88198
36602.13284
36882.72091
36786.12775
36792.62608
37060.62991
37274.23399
37327.84731
37612.10454
37850.36918
37895.26649
37979.70819
37929.56322
37703.73602
37602.75721
37937.80484
37888.52718
37780.55421
38025.9436
38043.05417
38233.82823
38073.84088
37785.96517
38006.56225
38138.46519
38005.12788
38347.32273
38490.92714
38477.74903
38703.44783
38539.26125
38310.7755
38000.18878
37775.97596
37429.80918
37773.75743
37637.41792
37895.08833
38124.08254
38124.16426
38374.59435
38196.52265
38102.25747
37871.80165
37813.15223
38065.10453
38136.63751
38009.93505
37713.01142
37973.97955
37689.91886

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)-1.334343
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-3.031928
TEST 1 Prob. (small sample)0.002400
Quasi Random-Walk probability0.955447
Kurtosis (large sample)-1.328933
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-2.959178
TEST 1 Prob. (large sample)0.003000
Quasi Random-Walk probability0.953361

\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)-1.334343 \tabularnewline Kurtosis S.E. (small sample)0.440097 \tabularnewline TEST 1 (small sample)-3.031928 \tabularnewline TEST 1 Prob. (small sample)0.002400 \tabularnewline Quasi Random-Walk probability0.955447 \tabularnewline \tabularnewline Kurtosis (large sample)-1.328933 \tabularnewline Kurtosis S.E. (large sample)0.449089 \tabularnewline TEST 1 (large sample)-2.959178 \tabularnewline TEST 1 Prob. (large sample)0.003000 \tabularnewline Quasi Random-Walk probability0.953361 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=103449&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]-1.334343[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]0.440097[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]-3.031928[/C][/ROW] [ROW][C]TEST 1 Prob. (small sample)[/C]0.002400[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.955447[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]-1.328933[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]0.449089[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]-2.959178[/C][/ROW] [ROW][C]TEST 1 Prob. (large sample)[/C]0.003000[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.953361[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=103449&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103449&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)-1.334343
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)-3.031928
TEST 1 Prob. (small sample)0.002400
Quasi Random-Walk probability0.955447
Kurtosis (large sample)-1.328933
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)-2.959178
TEST 1 Prob. (large sample)0.003000
Quasi Random-Walk probability0.953361


Figures (Output of Computation)

Input Parameters & R Code

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