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Maxy · 2024年01月26日

请问最小的惩罚是哪个呢？

  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.

如题，谢谢~

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1 个答案

DD仔_品职助教 · 2024年01月26日

嗨，爱思考的PZer你好：


相比于SIC，AIC的惩罚更小

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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