Message-ID: <Pine.LNX.4.63a.0509270713550.15579@homer24.u.washington.edu>
Date: 2005-09-27T14:15:24Z
From: Thomas Lumley
Subject: regsubsets selection criterion
In-Reply-To: <5.0.2.1.2.20050927150918.031edea0@mailhost.paris.ensam.fr>
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