More Comments on Cp |
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Authors: | Cohn L. Mallows |
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Affiliation: | 1. AT&2. T Bell Labs , Murray Hill , NJ , 07974 |
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Abstract: | I study the typical configuration of a Cp plot when the number of variables in the regression problem is large and there are many weak effects. I show that a particular configuration that is very commonly seen can arise in a simple way. I give a formula by means of which the risk incurred by the “minimum CP ” rule can be estimated. |
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Keywords: | Predictive mean squared error Regression Subset selection |
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