[R] PRESS criterion in leaps

From: Andrew Smith <andrewsmith81_at_gmail.com>
Date: Fri, 11 May 2007 17:34:28 -0400


I'm interested in writing some model selection functions (for linear regression models, as a start), which incorporate the PRESS criterion since it, to my knowledge, is not currently implemented in any available model selection procedure.

I thought it would be simplest to build on already existing functions like regsubsets in package leaps. It's easy enough to calculate the PRESS criterion for a fitted lm object, but I'm having trouble deciphering the structure of the regsubsets objects that leaps works with. Is there any way to calculate press from a regsubsets? Or, to put it another way, can I get the residual vector and the diagonal entries of the hat matrix from a regsubsets object? In fact, if the hat matrix is never calculated explicitly, the columns of Q from the QR factorization would suffice.

Thanks,
Andrew Smith

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