ρ | 0.05 | 0.1 | 0.2 | 0.3 | 0.4 | 0.5 | 0.6 | 0.7 | 0.8 | 0.81 | 0.815 | 0.82 | 0.85 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
In sample | SBC | 1710 | 1318 | 1257 | 1133 | 1036 | 931 | 878 | 798 | 761 | 749 | 737 | 751 | 723 |
Variables | 12 | 39 | 92 | 91 | 73 | 34 | 50 | 41 | 38 | 54 | 51 | 51 | 39 | |
KS (%) | 78.0 | 89.4 | 94.1 | 95.7 | 95.2 | 91.3 | 95.2 | 95.5 | 95.7 | 96.8 | 96.7 | 96.6 | 95.8 | |
Brier Score | 0.115 | 0.062 | 0.031 | 0.023 | 0.025 | 0.038 | 0.026 | 0.026 | 0.025 | 0.017 | 0.018 | 0.019 | 0.022 | |
–2×L(·) | 1610 | 1013 | 547 | 431 | 471 | 664 | 489 | 478 | 463 | 329 | 340 | 354 | 418 | |
Out of sample | Brier Score SNR | 1.76 | 2.55 | 1.47 | 1.86 | 2.18 | 1.85 | 3.42 | 1.59 | 4.32 | 3.75 | 2.00 | 7.78 | 3.06 |