Selection Evaluation Criteria: Function Objects
If we interpret model selection as search, we can interpret the template parameter F as the search evaluation criterion. A choice for F should denote a function object that returns a numerical value whenever it is given a subset of predictor variables.
For the linear model selection class
RWLinRegModelSelector<F>, the Business Analysis Module supplies the function object class
RWLinRegressFStatistic. It returns the F statistic value for the given predictor variable subset. (See
Significance of Predictor Variables.) If a different evaluation criterion is desired, refer to the discussion on writing your own function objects in
Writing Your Own Function Objects.For the class
RWLogRegModelSelector<F>, the Business Analysis Module supplies the logistic regression function object class
RWGPValueFunctor. It returns the
p-value of the predictor variable subset based on the G statistic. (See
G Statistic.). Again, if a different evaluation criterion is desired, refer below to the discussion on writing your own function objects.