[R] PRESS criterion in leaps

Thomas Lumley tlumley at u.washington.edu
Mon May 14 17:52:39 CEST 2007

On Fri, 11 May 2007, Andrew Smith wrote:
> I thought it would be simplest to build on already existing functions like
> regsubsets in package leaps.  It's easy enough to calculate the PRESS
> criterion for a fitted lm object, but I'm having trouble deciphering the
> structure of the regsubsets objects that leaps works with.  Is there any way
> to calculate press from a regsubsets?  Or, to put it another way, can I get
> the residual vector and the diagonal entries of the hat matrix from a
> regsubsets object?  In fact, if the hat matrix is never calculated
> explicitly, the columns of Q from the QR factorization would suffice.

Not only is the hat matrix never calculated explicitly, the Q matrix isn't 
calculated either.  The code forms R and Q^TY directly (the same code is 
used in the biglm package to provide bounded-space linear regression).


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