regsubsets selection criterion
On Tue, 27 Sep 2005, Samuel Bertrand wrote:
Hello, I am using the 'regsubsets' function (from leaps package) to get the best linear models to explain 1 variable from 1 to 5 explanatory variables (exhaustive search). Is there anyone who can tell me on which criterion is based the 'regsubsets' function ?
As you get a best model for each size, all the commonly used criteria are equivalent. RSS, AIC, BIC, Mallows Cp, adjusted R^2, etc, all give the same ordering for models with the same number of predictors. -thomas