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比如世界 · 2020年03月29日

问一道题: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.

答案里给出的s2、AIC、BIC的penalty factor分别是怎么求出来的? 之前一直理解的AIC的是k前面的系数2,bic是k前面的lnT。

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已采纳答案

品职答疑小助手雍 · 2020年03月29日

同学你好,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。

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