Mallows’s $C_p$

Mallows’s $C_p$ is used to assess model selection in regression analysis using ordinary least squares (OLS).

$$C_p=\frac{1}{n}(\text{RSS}+2p{\hat{\sigma }}^2)$$

where:

• $\text{RSS}$: Residual Sum of Squares
• $p$: number of parameters used in the model
• ${\hat{\sigma }}^2$: estimated variance of the error term

Lower values of $C_p$ indicate better models.