问题如下:
If the threshold of the POT approach is set lower, what effect will it have on the model?
选项:
A.It will increase the number of observations in the modeling procedure and improve the applicability of the model.
B.It will increase the number of observations in the modeling procedure but the applicability of the model is poor.
C.It will decrease the number of observations in the modeling procedure and the applicability of the model is poor.
D.It will decrease the number of observations in the modeling procedure and improve the applicability of the model.
解释:
B is correct.
考点:extreme value theory
解析:在POT模型中,阈值的设置是需要权衡的,比较高的阈值可以使模型更加适用于定理的要求,但是这样会导致观测值比较少,如果阈值太高的话,将没有足够的观测值来估计参数。反之,如果设定了比较低的阈值,虽然观测值数量增加,但构建的模型可能因为包含了太多极端情况而适用性差。
“反之,如果设定了比较低的阈值,虽然观测值数量增加,但构建的模型可能因为包含了太多极端情况而适用性差。”
这里的高和低是针对loss的绝对值来说的吧?
设定了比较低的阈值,不会包含更多的极端情况吧?应该是比较高的阈值,才会包含更多的极端情况?