[R] question about k in step

Prof Brian Ripley ripley at stats.ox.ac.uk
Tue May 10 15:23:06 CEST 2005

On Mon, 9 May 2005, ronggui wrote:

>> ?step
> ....
> 'step' uses 'add1' and 'drop1' repeatedly; it will work for any
>     method for which they work, and that is determined by having a
>     valid method for 'extractAIC'. When the additive constant can be
>     chosen so that AIC is equal to Mallows' Cp, this is done and the
>     tables are labelled appropriately.
> so my question is :what constant should i choose so i can get Mallows' 
> Cp instead of AIC?

k=2, that is AIC.  Under some circumstances Cp = AIC+const (as it says), 
and then the const is chosen so that AIC (which is only determined up to a 
const) is equal to Cp (which is defined exactly, at least by Mallows).

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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