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Best Subset Selection Algorithm

  1. Let M0M_0 denote the null model, which contains no predictors. This model simply predicts the sample mean for each observation.
  2. For k = 1,, 2, ..., p: (a) Fit all (pk)\binom{p}{k} models that contains exactly k predictors. (b) Pick the best among these (pk)\binom{p}{k} models, and call it MkM_k. Here best is defined as having the smallest RSS, or equivalently largest R2R^2.
  3. Select a single best model from among M0,...,MpM_0, ..., M_p using cross-validated prediction error, CpC_p (AIC), BIC, or adjusted R2R^2.

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Updated 2020-06-19

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Data Science