When comparing each individually generated model's $C_p$ to the number of parameters, which number of parameters is the comparison to? Each individual model or the overall number of parameters?
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$\begingroup$ Here's an example using R: stats.stackexchange.com/questions/8918/… $\endgroup$ – bill_080 Dec 5 '12 at 2:58
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You compare it to the number of parameters in each individual model. The idea is that for good models, Mallow's $C_p$ is close to the number of parameters, while for poor models it will be much higher. When looking at a large number of models $C_p$ is sometimes plotted against $p$, and then the line $C_p=p$ is drawn in to help with the comparison.
Edit: For an example:
Though they've plotted the line $C_p=p+1$ rather than $C_p=p$.
answered Dec 5 '12 at 2:35
