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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 15:07:05 +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/t1291129513vhgfifhb0q2qzz1.htm/, Retrieved Mon, 29 Apr 2024 14:36:48 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103586, Retrieved Mon, 29 Apr 2024 14:36:48 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact160

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] [Beursspel - QRW -...] [2010-11-28 11:24:07] [1f5baf2b24e732d76900bb8178fc04e7]
-    D    [Quasi Random-Walk Identification] [Workshop 8 Part 2...] [2010-11-30 15:07:05] [50e0b5177c9c80b42996aa89930b928a] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
23.34
23.64
23.09
23.51
23.16
23.33
22.95
22.78
23.31
23.15
23.39
23.62
23.61
23.58
23.46
23.56
23.26
23.35
23.25
23.20
22.89
22.99
22.94
22.75
22.87
21.76
21.79
21.78
22.16
22.17
22.00
21.92
21.74
21.68
21.82
21.39
21.33
21.61
21.18
21.25
21.12
21.24
21.19
20.91
21.15
20.68
20.65
20.62
20.71
20.44
20.23
20.19
19.96
20.17
19.78
19.36
19.30
19.05
19.09
18.67
18.57
17.99
18.00
18.30
18.13
18.15
18.19
18.42
18.35
18.39
18.57
18.66
18.38
18.32
18.31
18.54
19.30
19.85
19.82
19.79
19.98
19.69
19.94
19.56
19.39
19.67
19.83
19.70
19.38
19.10
18.75
19.38
19.29
19.00
19.43
19.32
19.44
18.89
18.77
18.56
18.67
18.07
17.96
18.00
18.40
18.72
19.36
19.46
19.23
19.58
19.71
20.06
20.11
20.18
20.32
20.39
19.60
19.66
19.68
18.99

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)0.979295
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)2.225179
TEST 1 Prob. (small sample)0.025800
Quasi Random-Walk probability0.767711
Kurtosis (large sample)0.888629
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)1.978739
TEST 1 Prob. (large sample)0.047800
Quasi Random-Walk probability0.362911

\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)0.979295 \tabularnewline Kurtosis S.E. (small sample)0.440097 \tabularnewline TEST 1 (small sample)2.225179 \tabularnewline TEST 1 Prob. (small sample)0.025800 \tabularnewline Quasi Random-Walk probability0.767711 \tabularnewline \tabularnewline Kurtosis (large sample)0.888629 \tabularnewline Kurtosis S.E. (large sample)0.449089 \tabularnewline TEST 1 (large sample)1.978739 \tabularnewline TEST 1 Prob. (large sample)0.047800 \tabularnewline Quasi Random-Walk probability0.362911 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=103586&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]0.979295[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]0.440097[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]2.225179[/C][/ROW] [ROW][C]TEST 1 Prob. (small sample)[/C]0.025800[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.767711[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]0.888629[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]0.449089[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]1.978739[/C][/ROW] [ROW][C]TEST 1 Prob. (large sample)[/C]0.047800[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.362911[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=103586&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103586&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)0.979295
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)2.225179
TEST 1 Prob. (small sample)0.025800
Quasi Random-Walk probability0.767711
Kurtosis (large sample)0.888629
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)1.978739
TEST 1 Prob. (large sample)0.047800
Quasi Random-Walk probability0.362911


Figures (Output of Computation)

Input Parameters & R Code

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