Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151172 | Statistical Methodology | 2007 | 10 Pages |
Abstract
In this paper, we propose an R2R2 coefficient to measure the percentage of variance which can be explained by the fitted model (not by the true model) in a multiple linear regression problem. This new coefficient, denoted RFPE2, is a reparametrization of the FPE criterion in use for model selection, such that maximizing RFPE2 over a set of candidate models is the same as minimizing FPE. Thus, RFPE2 can be used simultaneously for assessing goodness of fit and for model selection. At each step of a model selection procedure, the user can then quantify what is gained/lost when adding/removing a variable in/from the model, which should facilitate practice and comprehension of model selection.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Valentin Rousson, Nicoleta Francisca Goşoniu,