Regression toward the mean
The tendency for subsequent observations of a random variable to be closer to its mean. |
Similar financial terms
Simple linear regressionA regression analysis between only two variables, one dependent and the other explanatory.
Second pass regression
A cross-sectional regression of portfolio returns on betas. The estimated slope is the measurement of the reward for bearing systematic risk during the period analyzed.
Regression equation
An equation that describes the average relationship between a dependent variable and a set of explanatory variables.
Regression analysis
A statistical technique that can be used to estimate relationships between variables.
Multiple regression
The estimated relationship between a dependent variable and more than one explanatory variable.
Linear regression
A statistical technique for fitting a straight line to a set of data points.
LIBMEAN
The average of LIBID and LIBOR.
Mean-variance criterion
The selection of portfolios based on the means and variances of their returns. The choice of the higher expected return portfolio for a given level of variance or the lower variance portfolio for a given expected return.
Mean-variance analysis
Evaluation of risky prospects based on the expected value and variance of possible outcomes.
Mean of the sample
The arithmetic average; that is, the sum of the observations divided by the number of observations.
Mean
The expected value of a random variable.
