Returns the coefficients statistics for each of the best regressions found for each subset considered.
int which specifies the index of the best regression statistics to return. A two-dimensional double array containing the regression statistics.
The value set using MaximumBestFound determines the total number of best regressions to find. The number of best regression is equal to (MaximumSubsetSize x MaximumBestFound), if criterion RSquared is specified or it is equal to MaximumBestFound if either MallowsCP or AdjustedRSquared is specified.
Each row contains statistics related to the regression coefficients of the best models. The regressions are ordered so that the better regressions appear first. The statistic in the columns are as follows (inferences are conditional on the selected model):
| Column | Description |
|---|---|
| 0 | variable number |
| 1 | coefficient estimate |
| 2 | estimated standard error of the estimate |
| 3 | t-statistic for the test that the coefficient is 0 |
| 4 | p-value for the two-sided t test |
There will be 0 to (MaximumSubsetSize x MaximumBestFound - 1) best regressions if RSquared is specified or 0 to (MaximumBestFound - 1) if either MallowsCP or AdjustedRSquared is specified.
SelectionRegression.SummaryStatistics Class | Imsl.Stat Namespace | RSquared | AdjustedRSquared | MallowsCP