cp: Compute Mallows' Cp for local regression models.

In locfit: Local Regression, Likelihood and Density Estimation

Compute Mallows' Cp for local regression models.

Description

The calling sequence for cp matches those for the locfit or locfit.raw functions. The fit is not returned; instead, the returned object contains Cp criterion for the fit.

Cp is usually computed using a variance estimate from the largest model under consideration, rather than \sigma^2=1. This will be done automatically when the cpplot function is used.

The Cp score is exact (up to numerical roundoff) if the ev="data" argument is provided. Otherwise, the residual sum-of-squares and degrees of freedom are computed using locfit's standard interpolation based approximations.

Usage

cp(x, ..., sig2=1)

Arguments

x	model formula or numeric vector of the independent variable.
...	other arguments to locfit and/or locfit.raw.
sig2	residual variance estimate.

See Also

locfit, locfit.raw, cpplot

locfit documentation built on July 9, 2023, 5:58 p.m.