Fall Seminar Series  September 28, 2006
University of Minnesota
School of Statistics
College of Liberal Arts 

An Alternate Version of the Conceptual Predictive Statistic

Joseph E. Cavanaugh
Department of Biostatistics
The University of Iowa

Thursday, September 28, 2006
3:30 PM, 115 Ford Hall
Minneapolis, East Bank Campus
Social at 3:00 PM, 300 Ford Hall

 

Abstract

The conceptual predictive statistic, Cp, is a widely used criterion for model selection in linear regression.  Cp serves as an approximately unbiased estimator of a discrepancy, a measure that reflects the disparity between the generating model and a fitted candidate model.  This discrepancy, based on scaled squared error loss, is asymmetric: an alternate measure is obtained by reversing the roles of the two models in the definition of the measure.  We propose a variant of the Cp statistic based on estimating a symmetrized version of the discrepancy targeted by Cp.  We claim that the resulting criterion provides better protection against overfitting than Cp, since the symmetric discrepancy is more sensitive to overspecification than its asymmetric counterpart.  We illustrate our claim by presenting simulation results.  Finally, we demonstrate the practical utility of the new criterion by discussing a modeling application based on data collected in a cardiac rehabilitation program at University of Iowa Hospitals and Clinics.