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Inflation of R2 in Best Subset Regression
Alvin C. Rencher and Fu Ceayong Pun
Vol. 22, No. 1 (Feb., 1980), pp. 49-53
Published by: Taylor & Francis, Ltd. on behalf of American Statistical Association and American Society for Quality
Stable URL: http://www.jstor.org/stable/1268382
Page Count: 5
You can always find the topics here!Topics: Linear regression, Approximation, Simulations, Puns, Monte Carlo methods, Random numbers
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When subset selection is used in regression the expected value of R2 is substantially inflated above its value without selection, especially when the number of observations is less than the number of predictor variables. The extent of this increase was investigated by a Monte Carlo simulation. Tables are given with average values and percentage points of R2 for the null case of independence between the response variable and the predictor variables. Approximation formulas are provided to supplement the coverage in the tables.
Technometrics © 1980 American Statistical Association