Variable Selection
76 words
1 min read
Visual companion
Python
Type and operator map
Python Week 1: the first filter for runtime behavior
View
Revision summary
What this note is really saying
Short form
# Variable Selection ## 7.1 Selection Criteria Criterion Formula Lower is $C_p$ (Mallows) $C_p = \frac{SS_{res}(p)}{ \hat{\sigma}^2} - n + 2p$ Better (close to $p$ ) AIC $-2\ln(L) + 2p$ Better BIC $-2\ln(L) + p\ln(n)$ Better (penalizes complexity more) Adjusted $R^2$ $1 - \frac{SS_{res}/(n-p)}{SS_{tot}/(n-1)}$ Highe...
Variable Selection
7.1 Selection Criteria
| Criterion | Formula | Lower is |
|---|---|---|
| (Mallows) | Better (close to ) | |
| AIC | Better | |
| BIC | Better (penalizes complexity more) | |
| Adjusted | Higher is better |
7.2 Selection Methods
- Forward selection: Start empty, add variables one by one
- Backward elimination: Start full, remove least significant
- Stepwise: Both forward and backward Join Discord PreviousTransformationsNextGeneralized Linear Models