Mallows' Cp

Mallows' Cp

In statistics, Mallows' C_p, named for Colin Lingwood Mallows, is used to assess the fit of a regression model that has been estimated using ordinary least squares. It is applied in the context of model selection, where a number of predictor variables are available for predicting some outcome, and the goal is to find the best model involving a subset of these predictors. For example, one may be interested in predicting by how much a particular cholesterol-lowering drug will lower a particular person's cholesterol level, based on the person's age, gender, weight, and various dietary and lifestyle factors.