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Roxanne_104 · 2020年06月24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.

看了解析,这题太难理解了。可不可以直接记结论

1 个答案

袁园_品职助教 · 2020年06月28日

可以!

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