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I study the typical configuration of a Cp plot when the number of variables in the regression problem is large and there are many weak effects. I show that a particular configuration that is very commonly seen can arise in a simple way. I give a formula by means of which the risk incurred by the “minimum CP ” rule can be estimated.
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Cohn L. Mallows (Wed,) studied this question.
www.synapsesocial.com/papers/6a08da2d720b08f65a5b70b0 — DOI: https://doi.org/10.1080/00401706.1995.10484370
Cohn L. Mallows
Technometrics
AT&T (United States)
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