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R Software Module

qrwid.wasp

Title produced by software

Quasi Random-Walk Identification

Date of computation

Mon, 29 Nov 2010 11:09:29 +0000

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Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2010/Nov/29/t1291028869ym02ikhqgonci84.htm/, Retrieved Mon, 29 Apr 2024 14:55:49 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=102833, Retrieved Mon, 29 Apr 2024 14:55:49 +0000

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113

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-     [Quasi Random-Walk Identification] [Beursspel - QRW -...] [2010-11-28 11:24:07] [1f5baf2b24e732d76900bb8178fc04e7]
-    D    [Quasi Random-Walk Identification] [Beursspel - QRW -...] [2010-11-29 11:09:29] [ee4a783fb13f41eb2e9bc8a0c4f26279] [Current]

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Dataseries X:

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Boxplots

8.76
8.65
8.47
8.38
8.71
8.36
8.05
7.93
7.81
8.29
8.08
8.18
7.76
7.87
8.17
8.56
8.97
9.07
8.88
9.38
9.08
9.08
9.19
9.47
9.49
9.34
9.20
8.71
8.85
8.90
8.50
8.18
8.64
8.30
8.18
7.87
7.85
7.81
7.78
7.45
7.28
7.45
7.21
7.24
7.27
7.68
7.63
8.00
7.67
7.91
7.85
7.51
7.31
6.99
6.96
7.01
6.67
6.85
6.40
6.30
6.02
5.91
5.64
6.06
5.84
5.47
5.71
5.94
5.81
5.60
5.96
5.65
6.14
5.98
5.99
5.61
5.49
5.93
5.75
5.79
5.82
5.82
5.99
6.21
5.87
6.17
6.66
6.27
6.58
6.30
6.33
6.01
5.76
5.98
5.59
6.01
5.76
5.52
5.54
5.40
5.69
5.55
5.57
5.30
4.92
5.20
4.93
4.84
5.15
5.53
5.51
5.62
5.54
5.12
4.64
4.90
5.01
4.58
4.17
3.72
4.03
4.07
3.81
4.28
4.76
4.69
4.72
4.31
4.79
5.08
4.81
4.72
4.38
4.40
4.73
5.02
5.39
5.02
5.20
5.34
5.12
4.67
5.06
5.07
5.55
5.57
5.83
5.56
5.22
5.14
5.01
5.48
5.71
5.40
5.63
5.17
5.39
5.20
5.65
5.91
5.90
6.35
6.38
6.47
6.44
6.34
6.30
5.89
5.82
6.23
6.56
6.12
5.71
5.71
5.43
5.53
5.21
5.05
4.58
4.14
3.65
3.80
3.75
3.27
3.40
2.93
2.84
2.78
3.13
3.10
2.67
2.97
3.09
3.53
3.94
4.11
3.65
3.66
3.41
3.67
3.56
3.62
3.60
3.53
3.54
3.67
3.36
3.07
2.93
2.53
2.49
2.56
2.78
2.39
2.27
1.80
1.81
2.30
2.78
3.22
2.76
2.47
2.65
2.63
2.63
2.55
2.13
1.87
1.70
2.06
1.74
1.81
1.57
1.84
2.05
1.83
1.81
2.23
2.46
2.90
2.69
2.38
2.35
2.42
2.70
2.31
2.00
1.98
2.02
1.58
1.51
1.78
1.42
1.28
1.27
1.34
1.38
1.28
1.24
1.50
1.00
0.54
0.72
1.07
1.34
1.14
1.33
1.68
1.36
1.50
1.53
2.00
1.72
1.36
0.89
1.02
0.53
0.27
0.53
0.96
1.02
1.01
1.26
0.87
0.76
0.70
0.76
0.92
1.05
1.53
1.66
1.54
1.07
1.07
0.93
1.06
1.16
1.62
1.92
2.14
1.67
1.44
1.50
1.15
0.82
0.34
0.78
1.27
0.93
0.98
1.27
1.33
1.52
1.38
1.41
1.53
1.95
2.35
1.94
1.65
1.62
1.34
1.40
1.80
1.50
1.93
2.25
2.60
2.47
2.88
2.41
2.78
3.14
3.64
3.56
3.89
3.48
3.11
2.74
2.26
2.56
2.30
2.17
2.17
2.07
1.90
1.59
1.65
1.76
2.18
1.80
1.86
1.85
2.29
1.80
1.92
2.08
2.35
2.40
2.47
2.09
2.22
2.52
2.17
1.79
1.34
1.66
1.25
1.00
1.05
1.14
1.62
1.58
1.74
2.17
1.78
1.81
1.39
1.30
1.66
1.77
1.43
1.91
2.22
2.04
2.18
1.69
1.91
1.43
1.43
1.43
1.50
1.32
1.24
1.23
1.16
1.16
0.88
0.72
0.86
0.93
1.26
1.64
1.52
1.35
1.30
1.04
0.90
0.41
0.85
0.43
0.12
-0.36
-0.24
-0.56
-0.15
-0.03
0.25
0.66
0.53
0.21
0.39
0.79
0.99
1.43
1.42
1.83
2.06
2.55
2.60
2.22
1.83
1.78
1.74
2.22
2.43
2.59
2.65
2.90
2.44
2.74
2.66
2.32
2.47
2.89
3.14
2.77
3.13
3.31
3.63
3.33
3.65
3.97
3.72
3.90
3.44
3.79
3.46
3.51
3.32
3.33
3.16
3.22
3.49
3.58
4.03
3.66
3.97
3.57
3.79
3.68
3.35
3.40
3.64
3.90
3.54
3.21
3.54
3.09
3.28
3.43
3.26
2.81
2.62
2.24
2.67
3.13
2.95
2.52
2.57
2.39
1.93
1.73
1.44
1.10
1.11
1.03
1.04
1.49
1.18

Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	NAN
Kurtosis S.E. (small sample)	0.218222
TEST 1 (small sample)	NAN
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	NAN
Kurtosis S.E. (large sample)	0.219308
TEST 1 (large sample)	NAN
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

\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)

NAN \tabularnewline Kurtosis S.E. (small sample)

0.218222 \tabularnewline TEST 1 (small sample)

NAN \tabularnewline TEST 1 Prob. (small sample)

0.000000 \tabularnewline Quasi Random-Walk probability

0.962935 \tabularnewline \tabularnewline Kurtosis (large sample)

NAN \tabularnewline Kurtosis S.E. (large sample)

0.219308 \tabularnewline TEST 1 (large sample)

NAN \tabularnewline TEST 1 Prob. (large sample)

0.000000 \tabularnewline Quasi Random-Walk probability

0.962935 \tabularnewline \hline \end{tabular} %Source: https://freestatistics.org/blog/index.php?pk=102833&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]

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

0.218222[/C][/ROW] [ROW][C]TEST 1 (small sample)[/C]

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

0.000000[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.962935[/C][/ROW] [ROW][/ROW] [ROW][C]Kurtosis (large sample)[/C]

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

0.219308[/C][/ROW] [ROW][C]TEST 1 (large sample)[/C]

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

0.000000[/C][/ROW] [ROW][C]Quasi Random-Walk probability[/C]

0.962935[/C][/ROW] [/TABLE] Source: https://freestatistics.org/blog/index.php?pk=102833&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=102833&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)	NAN
Kurtosis S.E. (small sample)	0.218222
TEST 1 (small sample)	NAN
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	NAN
Kurtosis S.E. (large sample)	0.219308
TEST 1 (large sample)	NAN
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

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Parameters (R input):

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

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