The interpretation of Mallows's C-p-statistic
The interpretation of Mallows's C-p-statistic
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DOI：
10.2307/2348411
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发表时间：
1996-01-01
期刊：
影响因子：
--
通讯作者：
Gilmour, SG
中科院分区：
文献类型：
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作者：
Gilmour, SG
在多元回归研究中选择变量时，通常会选择 Mallows C-p 统计量值最低的模型。此处显示，当 sigma(2) 的估计值来自完整模型时，调整后的 C-p（(C) over bar(p)）具有 E((C) over bar(p)) = p 的属性。建议采用一个程序，其中涉及测试是否）具有最小（C）超过条（p）的模型确实比更简单的模型更好。给出了近似检验统计量的零分布的表格。
When selecting variables in multiple-regression studies, the model with the lowest value of Mallows's C-p-statistic is often chosen. It is shown here that when the estimate of sigma(2) comes from the full model an adjusted C-p, (C) over bar(p), has the property that E((C) over bar(p)) = p. It Is suggested that a procedure be adopted which involves testing whether) It is model with minimum (C) over bar(p) is really better than a simpler model. Tables approximating the null distribution of the test statistics are given.