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Best Subset Selection Algorithm
- Let denote the null model, which contains no predictors. This model simply predicts the sample mean for each observation.
- For k = 1,, 2, ..., p: (a) Fit all models that contains exactly k predictors. (b) Pick the best among these models, and call it . Here best is defined as having the smallest RSS, or equivalently largest .
- Select a single best model from among using cross-validated prediction error, (AIC), BIC, or adjusted .
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Updated 2020-06-19
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Data Science