Statistics - Mallow's Cp

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Formula

<MATH> \begin{array}{rrl} C_p & = & \frac{1}{n}(\href{RSS}{RSS} +2d \hat{\sigma}^2) \end{array} </MATH> where:

Restrictions

Cp is restricted to cases where n is bigger than p. If p is bigger than n, there is a problem because the full model (ie with all p predictors) is not defined and the error will be zero. Even if p is close to n, there will be a problem because the estimate of sigma squared might be far too low.


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