Physical Sciences and Mathematics Commons^™

Statistical Properties And Applications Of Press Statistic, Ida Marie Alcantara

Dissertations

The most popularly used statistic R^₂ has a fundamental weakness in model building: it favors adding more predictors to the model because R² can only increase. In effect, the additional predictors start fitting the noise in data. Other criterion in selecting a regression model such as R² _adj , AIC, SBC, and Mallow’s C_p does not guarantee the model selected will also make better prediction of future values. To avoid this, data scientists withhold a percentage of the data for validation purposes. The PRESS statistic does something similar by withholding each observation in calculating its own …