Programming the statistical procedures from SAS

Mallow cp vs RMSE

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Mallow cp vs RMSE

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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

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Re: Mallow cp vs RMSE

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

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