[S] negative values of Mallows Cp

Prof Brian Ripley

2005-08-17 04:58:59 UTC

Post by m***@agro.uba.ar
It makes sense to obtain negative values of Mallows Cp when running
leaps function ?

Yes. Mallows' C_p is usually (but not always) defined as

RSS/sigma^2 + 2p - n

and the expected value of the first term is n-p, so the expected value is
p. Thus an unusually good fit will result in negative values, for example
if the data actually fitted the model exactly the value would be 2p-n and
that would be negative for p < n/2.

The comments in the help file are consistent with this definition.
--
Brian D. Ripley, ***@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
--------------------------------------------------------------------
This message was distributed by s-***@lists.biostat.wustl.edu. To
unsubscribe send e-mail to s-news-***@lists.biostat.wustl.edu with
the BODY of the message: unsubscribe s-news