[R] stepAIC

Prof Brian Ripley ripley at stats.ox.ac.uk
Tue Sep 12 10:01:14 CEST 2006

On Tue, 12 Sep 2006, stephenc wrote:

> Hi
> I hope this isn't off topics, but I have always found when I stepAIC() some
> glm I get an improvement in accuracy and kappa, but I have just done a case
> where I got a marginal deterioration.  Is this possible, or should I be
> going through my figures carefully to see if I have messed up?

It is certainly possible.

Optimizing AIC is only aimed at getting an improvement in one prediction 
measure, on average.

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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