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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 19:21:22 +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/t1291144782rnjrh8vrqmmibb2.htm/, Retrieved Mon, 29 Apr 2024 12:26:02 +0000
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=103782, Retrieved Mon, 29 Apr 2024 12:26:02 +0000
QR Codes:

Original text written by user:
IsPrivate?No (this computation is public)
User-defined keywords
Estimated Impact137

Tree of Dependent Computations

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
-     [Skewness and Kurtosis] [Kurtosis analysis...] [2007-09-10 12:58:14] [34354a2f772eeadc2ea8c4c156a37515]
-  M D  [Skewness and Kurtosis] [] [2010-11-30 18:24:16] [b659239b537e56f17142ee5c56ad6265]
-  M D      [Quasi Random-Walk Identification] [] [2010-11-30 19:21:22] [efffa7146cfe4c2b113f6c7f36d84ca0] [Current]
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Dataset

Dataseries X:
Download CSV
Histogram
Boxplots 
22,22
21,28
22,25
23,01
23,01
22,18
22,50
23,68
23,53
24,69
25,29
24,49
25,90
26,48
25,08
22,98
22,44
22,20
22,18
22,25
22,44
22,44
22,42
22,56
22,53
22,66
21,89
22,62
21,51
22,44
23,39
23,19
22,53
22,58
22,45
22,69
22,75
21,44
21,82
21,34
21,37
21,74
21,59
22,17
20,67
21,79
22,81
23,38
22,14
22,33
22,53
22,27
22,71
21,44
21,31
20,73
20,25
21,62
20,39
19,86
17,90
17,60
18,64
17,57
17,98
17,78
18,36
18,66
18,99
19,18
20,47
20,24
19,77
19,89
20,02
20,45
22,73
23,34
22,96
23,34
23,70
23,48
24,12
22,61
22,60
22,50
23,12
22,94
21,98
21,49
19,80
20,82
20,11
20,14
22,94
23,06
23,57
22,01
22,05
21,04
20,58
18,31
18,18
18,73
19,09
19,83
22,20
22,80
21,28
22,63
22,90
24,09
24,19
23,92
24,03
24,04
22,49
22,82
22,60
20,64

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)0.948882
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)2.156076
TEST 1 Prob. (small sample)0.030800
Quasi Random-Walk probability0.689085
Kurtosis (large sample)0.859480
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)1.913831
TEST 1 Prob. (large sample)0.054800
Quasi Random-Walk probability0.245608

\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)0.948882 \tabularnewline Kurtosis S.E. (small sample)0.440097 \tabularnewline TEST 1 (small sample)2.156076 \tabularnewline TEST 1 Prob. (small sample)0.030800 \tabularnewline Quasi Random-Walk probability0.689085 \tabularnewline \tabularnewline Kurtosis (large sample)0.859480 \tabularnewline Kurtosis S.E. (large sample)0.449089 \tabularnewline TEST 1 (large sample)1.913831 \tabularnewline TEST 1 Prob. (large sample)0.054800 \tabularnewline Quasi Random-Walk probability0.245608 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=103782&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]0.948882[/C][/ROW] [ROW][C]Kurtosis S.E. (small sample)[/C]0.440097[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]2.156076[/C][/ROW] [ROW][C]TEST 1 Prob. (small sample)[/C]0.030800[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.689085[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]0.859480[/C][/ROW] [ROW][C]Kurtosis S.E. (large sample)[/C]0.449089[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]1.913831[/C][/ROW] [ROW][C]TEST 1 Prob. (large sample)[/C]0.054800[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]0.245608[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=103782&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=103782&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)0.948882
Kurtosis S.E. (small sample)0.440097
TEST 1 (small sample)2.156076
TEST 1 Prob. (small sample)0.030800
Quasi Random-Walk probability0.689085
Kurtosis (large sample)0.859480
Kurtosis S.E. (large sample)0.449089
TEST 1 (large sample)1.913831
TEST 1 Prob. (large sample)0.054800
Quasi Random-Walk probability0.245608


Figures (Output of Computation)

Input Parameters & R Code

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