An Alternate Version of the
Conceptual Predictive Statistic
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.