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小王爱学习 · 2022年01月21日

哪里讲了sic?

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.

哪里讲了sic的内容?

1 个答案

李坏_品职助教 · 2022年01月21日

嗨,爱思考的PZer你好:


看一下基础班讲义P281-282,在282页上有SIC的公式。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

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