Cp: Mallows Cp

In CombMSC: Combined Model Selection Criteria

Description

Calculates the Mallows Cp criterion of a lm object

Usage

Cp(object, a = 1, b = 0, ...)

Arguments

object	object passed from TMC containing the fitted lm object
a	constant multiplier for the Cp term itself
b	constant multiplier for the closeness of Cp to p.
...	other arguments

Details

In the model selection criteria for TMC, we require a single quantity to be minimized or maximized, but the common interpretation of Cp is that we want Cp to be "small and close to p." Therefore, we have introduced arguments a and b which allow the user to customize, if desired, the relative weights of the two criteria. By default, the function simply calculates the raw Cp value, and therefore the closeness of Cp to p is of no consequence. However, if one wishes the final criterion value (which will eventually be ranked in TMC) to take closeness to p into account as well, one can easily modify the MSC function in the msc.List argument to adjust the constant multipliers. The final value returned will be a * Cp + b * |Cp - p|.

Value

a * Cp + b * |Cp - p|

Author(s)

Andrew K. Smith

CombMSC documentation built on May 2, 2019, 2:32 p.m.