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SkipperLin · 2022年03月02日

请问SIC和BIC的区别是什么？

  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.

请问SIC和BIC的区别是什么？谢谢

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品职答疑小助手雍 · 2022年03月02日

同学你好，没有区别，是一个概念。

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