redlou
Book:
Model selection and inference (Burnham & Anderson ) 1998
Computer intensive statistical methods. Validation,model selection and bootstrap
(Hjorth) 1994
Regression and time series model selection (Mcquarrie &Tsai) 1998
Subset selection in regression (Miller) 1990
Criterion:
AIC=n*log(RSS/n)+2(p+1) AICc=n*log(RSS/n)+n(p+n)/(n-p-2)
AIC=n*log(RSS/(n-p))+n(p+n)/(n-p-2) SBC= n*log(RSS/n)+p*log(n)
HQ=n*log(RSS/n)+2*p*log log(n) HQc=n*log(RSS/n)+2*n*p*log log(n)/(n-p-2)
FPE=RSS*(n+p)/(n-p) FPE=RSS*n*(n+p)/(n-p)^2
FPE4=RSS*(n+3p)/(n-p)
s^2=RSS/(n-p) Rp=RSS*(n-1)/(n-p)^2
Cp, PRESS....