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R Software Module

qrwid.wasp

Title produced by software

Quasi Random-Walk Identification

Date of computation

Tue, 30 Nov 2010 14:04:50 +0000

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2010/Nov/30/t12911257921gdamtk9eyf7v71.htm/, Retrieved Mon, 29 Apr 2024 10:08:53 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103475, Retrieved Mon, 29 Apr 2024 10:08:53 +0000

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No (this computation is public)

User-defined keywords

Estimated Impact

127

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 14:01:52] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D          [Quasi Random-Walk Identification] [] [2010-11-30 14:03:28] [7d64bf19f34ddcdf2626356c9d5bd60d]
-    D              [Quasi Random-Walk Identification] [] [2010-11-30 14:04:50] [5842cf9dd57f9603e676e11284d3404a] [Current]
-    D                [Quasi Random-Walk Identification] [] [2010-11-30 14:12:36] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                [Quasi Random-Walk Identification] [] [2010-11-30 14:14:25] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                [Quasi Random-Walk Identification] [] [2010-11-30 14:15:42] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                  [Quasi Random-Walk Identification] [] [2010-11-30 14:20:21] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                    [Quasi Random-Walk Identification] [] [2010-11-30 14:21:56] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                    [Quasi Random-Walk Identification] [] [2010-11-30 14:24:48] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                      [Quasi Random-Walk Identification] [] [2010-11-30 14:25:59] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                        [Quasi Random-Walk Identification] [] [2010-11-30 14:32:25] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                          [Quasi Random-Walk Identification] [] [2010-11-30 14:34:35] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                            [Quasi Random-Walk Identification] [] [2010-11-30 14:35:35] [7d64bf19f34ddcdf2626356c9d5bd60d] 
- RM D                [Bias-Reduced Logistic Regression] [] [2010-11-30 14:56:19] [7d64bf19f34ddcdf2626356c9d5bd60d] 
-    D                  [Bias-Reduced Logistic Regression] [] [2010-11-30 20:56:05] [7d64bf19f34ddcdf2626356c9d5bd60d] 

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50
49.07735057
48.58264039
46.87925231
46.75019227
48.09682842
46.25582452
46.60179784
45.25104446
44.34745588
43.04931307
42.83410436
42.11463391
41.04069668
42.74840989
43.04520709
42.73584764
41.36195736
41.23079597
41.94015776
41.42758852
40.33032034
40.90484921
40.19818621
40.90621812
39.33290764
40.6959663
40.1404224
40.98907025
40.40491568
40.26814059
41.84529727
39.94639998
39.7214159
38.99806525
39.81667779
40.25566611
40.40530769
38.8805866
37.44006432
38.91609274
39.83644074
39.41950069
37.49660241
37.55786163
36.02997303
35.4813664
36.46092881
37.58868724
38.14955525
39.27951761
37.4852161
36.49536757
36.03826657
35.69470234
34.39566629
33.40793106
33.70550843
33.05822104
32.89407049
33.6168436
32.81685578
32.98174112
33.16597873
31.40889587
31.94340557
30.20845465
32.1007895
33.56663901
34.52004693
34.78448704
36.69613789
35.86445112
36.71402098
37.18483092
37.85462295
36.72741792
35.29218258
36.6911738
37.02927614
38.37769072
38.00257967
38.88221546
38.63061172
40.47560951
41.04423351
42.34582289
42.1003938
40.58669933
39.4385507
40.31620328
40.58743863
41.23519123
39.65876335
38.40584717
38.36134178
38.11926477
37.52625027
38.37613062
37.89634273
38.74482258
40.51069966
40.03483167
39.38055809
38.60504755
39.16138978
39.84376835
38.32896038
38.24522096
36.6856377
36.86380483
35.48842789
36.75680123
38.2966862
38.35236749
38.04357297
38.21789532
39.08303401
40.45542831
39.58509932

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	-0.838694
Kurtosis S.E. (small sample)	0.440097
TEST 1 (small sample)	-1.905702
TEST 1 Prob. (small sample)	0.056200
Quasi Random-Walk probability	0.225472
Kurtosis (large sample)	-0.853867
Kurtosis S.E. (large sample)	0.449089
TEST 1 (large sample)	-1.901332
TEST 1 Prob. (large sample)	0.056200
Quasi Random-Walk probability	0.225472

\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)

-0.838694 \tabularnewline Kurtosis S.E. (small sample)

0.440097 \tabularnewline TEST 1 (small sample)

-1.905702 \tabularnewline TEST 1 Prob. (small sample)

0.056200 \tabularnewline Quasi Random-Walk probability

0.225472 \tabularnewline \tabularnewline Kurtosis (large sample)

-0.853867 \tabularnewline Kurtosis S.E. (large sample)

0.449089 \tabularnewline TEST 1 (large sample)

-1.901332 \tabularnewline TEST 1 Prob. (large sample)

0.056200 \tabularnewline Quasi Random-Walk probability

0.225472 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=103475&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]

-0.838694[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]

0.440097[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]

-1.905702[/C][/ROW] [ROW][C]TEST 1 Prob. (small sample)[/C]

0.056200[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.225472[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]

-0.853867[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]

0.449089[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]

-1.901332[/C][/ROW] [ROW][C]TEST 1 Prob. (large sample)[/C]

0.056200[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.225472[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=103475&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103475&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)	-0.838694
Kurtosis S.E. (small sample)	0.440097
TEST 1 (small sample)	-1.905702
TEST 1 Prob. (small sample)	0.056200
Quasi Random-Walk probability	0.225472
Kurtosis (large sample)	-0.853867
Kurtosis S.E. (large sample)	0.449089
TEST 1 (large sample)	-1.901332
TEST 1 Prob. (large sample)	0.056200
Quasi Random-Walk probability	0.225472

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