[R] regsubsets selection criterion
tlumley at u.washington.edu
Tue Sep 27 16:15:24 CEST 2005
On Tue, 27 Sep 2005, Samuel Bertrand wrote:
> 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.
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