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Mmm s · 2024年05月07日

这题没懂哪里有惩罚因子

  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.

这道题什么意思啊？？

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2 个答案

品职答疑小助手雍 · 2024年05月10日

SIC和AIC一样都是给MSE添加了惩罚因子，相比之下，SIC的惩罚因子是最大的

品职答疑小助手雍 · 2024年05月08日

同学你好，就是类似用自由度这种东西来把原有的估计进行保守化处理。

这个penalty factor的大小顺序记一下就可以了，至于具体的数值，目前原版书上没有写出来之前那些式子了，属于超纲内容。

数值的话，可以了解一下下图即可。

Mmm s · 2024年05月09日

大小顺序是什么呢

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