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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 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. Multiple regressionMultiple regressionThe estimated relationship between a dependent variable and more than one explanatory variable. 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. Regression coefficientRegression coefficientTerm yielded by regression analysis that indicates the sensitivity of the dependent variable to a particular independent variable. See: Parameter. Regression equationRegression equationAn equation that describes the average relationship between a dependent variable and a set of explanatory variables. Further SuggestionsSecond pass regressionRegression analysis Regression analysis Simple linear regression Regression toward the mean Linear regression |
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