mallow: Mallow's Cp function

In UBC-MDS/regscoreR: Regression Scores

Description

Mallow's C_p is named for Colin Lingwood Mallows. It is used to assess the fit of regression model, finding the best model involving a subset of predictive variables available for predicting some outcome.

Usage

mallow(y, y_pred, y_sub, k, p)

Arguments

y	array-like of shape = (n_samples) or (n_samples, n_outputs), True target variable(s)
y_pred	array-like of shape = (n_samples) or (n_samples, n_outputs) Fitted target variable(s) obtained from your regression model
y_sub	array-like of shape = (n_samples) or (n_samples, n_outputs) Fitted target variable(s) obtained from your subset regression model
k	(int,like 2L)Number of predictive variable(s) used in the model
p	(int,like 2L)Number of predictive variable(s) used in the subset model

Details

C_p = (SSE_k/MSE) - (n - 2k)

Value

mallow_score: float

Author(s)

Ruoqi XU

Examples

library(regscoreR)
y <-c(1,2,3,4)
y_pred <- c(5,6,7,8)
y_sub <- c(1,2,3,5)
p <- 3L
k <- 2L
regscoreR::mallow(y, y_pred, y_sub, p, k)

UBC-MDS/regscoreR documentation built on May 25, 2019, 1:36 p.m.