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First pass regression |
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First pass regressionA time series regression to estimate the betas of securities portfolios.First pass regression Similar MatchesRegression analysisRegression analysisA statistical technique that can be used to estimate relationships between variables. Regression equationRegression equationAn equation that describes the average relationship between a dependent variable and a set of explanatory variables. Regression analysisRegression analysisAnalysis which examines the correlation between two or more variables in a mathematical model and attempts to prove whether or not the past relationships will be the same in the future. Regression analysis is used in the Black-Scholes option pricing model, portfolio theory and the capital asset pricing model. RegressionRegressionA mathematical technique used to explain and/or predict. The general form is Y = a + bX + u, where Y is the variable that we are trying to predict; X is the variable that we are using to predict Y, a is the intercept; b is the slope, and u is the regression residual. The a and b are chosen in a way to minimize the squared sum of the residuals. The ability to fit or explain is measured by the R-square. Linear regressionLinear regressionA statistical technique for fitting a straight line to a set of data points. Further SuggestionsSecond pass regressionRegression toward the mean Regression analysis Multiple regression Regression coefficient Simple linear regression |
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