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保琰 · 2023年04月19日

请问SIC出现在课程的哪里呀？

  1. FRM I
  2. Quantitative

NO.PZ2018122801000073

问题如下：

Richard Frank, FRM, is running a regression model to forecast in-sample data. He is concerned about data mining and over-fitting the data. Which of the following criteria provides the highest penalty factor based on degrees of freedom?

选项：

A.

Mean squared error (MSE)

B.

Unbiased mean squared error (s2)

C.

Akaike information criterion (AIC)

D.

Schwarz information criterion (SIC)

解释：

D is correct.

考点 ： Selecting Forecasting Models

解析 ： The Schwarz information criterion (SIC) has the highest penalty factor. The mean squared error (MSE) does not penalize the regression model based on the increased number of parameters, k. The penalty factors for s2, AIC, and SIC are (T/T –  k), e(2k/T), and T(k/T), respectively. Thus, SIC has the greatest penalty factor.

印象里只有AIC和BIC，知识点可能有遗漏，烦请老师说明下。谢谢！

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DD仔_品职助教 · 2023年04月19日

嗨，努力学习的PZer你好：


同学你好，

在基础班讲义282页

SIC就是BIC，只不过有两种叫法

----------------------------------------------
努力的时光都是限量版，加油！

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