Finding Mallows statistics Cp for a data set

I have a data set and would like to find out Mallows statistics Cp for that. Can someone help me with the code.

Answer 1

[Star Strider]

As I understand, it’s essentially the same as the ‘Akaike infomation criterion’. Searching the File Exchange for ‘AIC’ turns up a number of contributions, the most relevant of which to what you want to do is likely Fast & Detailed Multivariate OLS Regression.

The Mallow’s Cp statistic seems easy enough to program. The complications would show themselves in applying it to your regression — what regressors are kept in and what regressors are omitted from the final model. If you have the Statistics Toolbox, the Stepwise Regression routines do all of that for you.