topic Re: Mallow cp vs RMSE in Statistical Procedures

Mallow cp vs RMSE

sameer112217 — Sun, 18 Dec 2016 08:47:32 GMT

Mallow cp vs RMSE?

Which one is more approprioate method for model selection in linear regression for validation data

Mallow cp vs RMSE?

I heard RMSE is more appropriate for training and test data

Sameer

SteveDenham — Tue, 27 Dec 2016 19:14:55 GMT

If you have to use an automated method, there are many better than these two. For reasons why these two are NOT good, try reading http://www.lexjansen.com/pnwsug/2008/DavidCassell-StoppingStepwise.pdf.

If I had to depend on an automated method (that is, nobody has any good systematic knowledge about the problem), I would consider LASSO methods.

Steve Denham