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Lucy · 2020年03月04日

问一道题:NO.PZ2020010801000030 [ FRM I ]

问题如下:

If you use a general-to-specific model selection with a test size of a, what is the probability that one or more irrelevant regressors are included when the regressors are uncorrelated?

解释:

If the regressors are uncorrelated, then their joint distribution has no correlation, and so the probability that one-or-more irrelevant regressors is included is 1 minus the probability that none are. The probability of including a single irrelevant regressor is 1α1 - \alpha, where a is the test size. This is the definition of the size of a test. The probability that no irrelevant regressors are included is (1α)p(1 - \alpha)^p, where p is the number of variables considered.

为什么probability of single irrelevant regression =1—a?
1 个答案
已采纳答案

orange品职答疑助手 · 2020年03月05日

同学你好,这道原版书的题我们答疑助教讨论了一下,觉得它有点问题,这道题先暂时不用看啦

Lucy · 2020年03月25日

好的老师