|Regression toward the mean|
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Definition of Regression toward the mean
Regression toward the mean
The tendency for subsequent observations of a random variable to be closer to its mean.
Arithmetic mean return.
An average of the subperiod returns, calculated by summing the subperiod returns
A time series regression to estimate the betas of securities portfolios.
Also called the time weighted rate of return, a measure of the compounded rate of
a statistical technique that investigates the association between dependent and independent variables; it determines the line of "best fit" for a set of observations by minimizing the sum of the squares
A statistical technique for fitting a straight line to a set of data points.
The expected value of a random variable.
a. A number that typifies a set of numbers, such as a geometric mean
The arithmetic average; that is, the sum of the observations divided by the number of
Evaluation of risky prospects based on the expected value and variance of possible outcomes.
The selection of portfolios based on the means and variances of their returns. The
Related: Markowitz efficient portfolio
The estimated relationship between a dependent variable and more than one explanatory variable.
a statistical technique that uses two or
A statistical technique that can be used to estimate relationships between variables.
Statistical analysis techniques that quantify the
An equation that describes the average relationship between a dependent variable and a
any line that goes through the means (or averages) of the set of observations for an independent variable and its dependent variables; mathematically, there is a line of “best fit,” which is the least squares regression line
Second pass regression
A cross-sectional regression of portfolio returns on betas. The estimated slope is the
Simple linear regression
A regression analysis between only two variables, one dependent and the other explanatory.
a statistical technique that uses only one independent variable to predict a dependent variable
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