Fundamentals of Statistics contains material of various lectures and courses of H. Lohninger on statistics, data analysis and chemometrics......click here for more. 
Home Multivariate Data Basic Knowledge Selection of Variables Mallows Cp Statistic  
See also: variable selection, Data Set  Gasoline Samples  
Mallows Cp StatisticC.L. Mallows developed a method to find adequate models by plotting a special statistic against the number of variables+1. C_{p} = SS_{res}/MS_{res}  N + 2p, SS_{res} is the residual sum of squares for the model with p1 variables, MS_{res} is the residual mean square when using all available variables, N is the number of observations, and p is the number of variables used for the model plus one. The general procedure to find an adequate model by means of the C_{p} statistic is to calculate C_{p} for all possible combinations of variables and the C_{p} values against p. The model with the lowest C_{p }value approximately equal to p is the most "adequate" model.


Home Multivariate Data Basic Knowledge Selection of Variables Mallows Cp Statistic 