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|See also: variable selection|
C.L. Mallows  developed a method to find adequate models by plotting a special statistic against the number of variables+1.
Cp = SSres/MSres - N + 2p,
The general procedure to find an adequate model by means of the Cp statistic is to calculate Cp for all possible combinations of variables and the Cp values against p. The model with the lowest Cp value approximately equal to p is the most "adequate" model.
Some comments on Cp
Technometrics 15 (1973) 661
Last Update: 2004-Jul-03