Calculates the Mallows Cp criterion of a lm object
Cp(object, a = 1, b = 0, ...)object passed from TMC containing the fitted lm object
constant multiplier for the Cp term itself
constant multiplier for the closeness of Cp to p.
other arguments
\(a * Cp + b * |Cp - p|\)
In the model selection criteria for TMC, we require a single quantity
to be minimized or maximized, but the common interpretation of Cp is that
we want Cp to be "small and close to p." Therefore, we have introduced
arguments a and b which allow the user to customize, if
desired, the relative weights of the two criteria. By default, the function
simply calculates the raw Cp value, and therefore the closeness of Cp
to p is of no consequence. However, if one wishes the final criterion value
(which will eventually be ranked in TMC) to take closeness
to p into account as well, one can easily modify the MSC function in
the msc.List argument to adjust the constant multipliers. The
final value returned will be \(a * Cp + b * |Cp - p|\).