SOA Exam SRM Sample Question 61
Study guide: Exam SRM
A linear model has been fit to a dataset containing six predictor variables, F, G, H, I, J, and K.
Determine which of the following statements regarding using Akaike information criterion (AIC) or Bayesian information criterion (BIC) to select an optimal set of predictor variables for this linear model is/are true.
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I. AIC and BIC provide a direct estimate of the test error.
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II. When choosing between the subsets {F, G, H} and {I, J, K}, AIC will always select the same subset as BIC.
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III. For large sample sizes (n > 7), the number of variables selected by BIC will be less than or equal to the number selected by AIC.
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A) None
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B) I and II only
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C) I and III only
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D) II and III only
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E) The correct answer is not given by (A), (B), (C), or (D).
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