[R] regsubsets

[Bert Gunter]

Mohammed:

I am sorry to burst your bubble, but the whole concept of finding a
"best" subset regression is now considered to be badly flawed. There
will typically be many essentially equivalent choices. Shrinkage of
varying kinds and "ensemble fits" are the sorts of things that are
done nowadays. I strongly recommend you work with a local
statistician, as it is unlikely that you'll get the sort of help you
need via the Net.

(All IMHO, of course).

Cheers,
Bert

Bert Gunter
Genentech Nonclinical Biostatistics
(650) 467-7374

"Data is not information. Information is not knowledge. And knowledge
is certainly not wisdom."
H. Gilbert Welch




On Sun, Mar 30, 2014 at 1:54 PM, Mohammad Ahmed <mwh981 at yahoo.com> wrote:
> I am not able to find the criterion under which the best subset model for a certain size is chosen for the function regsubsets (leaps package in R) . For leaps function, we can determine the method ( cp,r2 or adj r2). For example,
>
> x <- predictors
> y <- response
>
> g <- regsubsets(x,y,nvmax=1,nbest=1)
>
>
>  summary(g)$which specifies set of predictors that form the best model within all models of size 1. But under which criterion is considered best ?. Does it have the highest R2 or adjR2  or any other criterion ?.
>
>
> Thank you for your help.
>
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