Transcription of 분류 및 회귀나무(CART) 기법을 ... - kostat.go.kr
1 (CART) (KRX) (CART) 171 (CART) (KRX) < > , .. (KRX), (Machine Learning) (Classification And Regression Tree, CART). , . CART (recursively) .. (Keywords) : (CART), , , * 4 *172.
2 I 2016 2 9 2 12 KOSDAQ . , , . 9. 523 .. (KRX) KOSPI 200 15, 15 .. CART (Classification And Regression Tree).
3 CART (CART) 173 , (Closed Form) . CART .. II .1 II . , (2009).
4 (2007)KOSPI , .. (2006) Schwert(1989) . (2008) GARCH .. Hasbrouck(1996) NYSE .. 174.
5 2 II .. , . (Price Discovery) .. , , . (CART) 175 KOSPI 5% (KOSDAQ 6% ).
6 5 .. , .. , . CART (Bootstraping) (Random Forest) . RRStudio ggplot, rpart, ipred, rattle, randomForest, boot, plot3D .. III 2008 1 22016 2 52010.
7 (). < 1> .176 < 1: > : ( ) 2008 .. KOSPI KOSDAQ . KOSPI , KOSDAQ , , , , , , , . KOSPI KOSDAQ KOSPI KOSDAQ KOSDAQ.
8 (KRX) . ~ ~ ~ ~ ~ (CART) 177 IV..1 IV CART(Classification And Regression Tree) (Regression Tree) . CART , , .. <1>. <1: > : . <1> . , .. , (Piecewise Constant Function) . (Squared Sum of Error, SSE).
9 , ( , (Real Number), ()) .178 (1) . (Impurity Measure), (Sum of Squared Error, SSE).. , < 1> . = , = , t , = ,t, , . (2) . , . (cost).
10 (3) , . (4) (CART) 179 ..(Proposition) , . Proof) . MSE(Mean Squared Error) (mean) . () .. (Complexity Parameter, CP) , CP= . (m-dimensional Euclid space).
