As a criterion for comparing models, The Cp measure in (5.18) can alternatively be given by Cp

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As a criterion for comparing models, The Cp measure in (5.18) can alternatively be given by Cp ≈ MSE + 2 · (p + 1) n σˆ 2 . Suppose that MSE from the current model is used to estimate the true noise variance, i.e., ˆσ 2 = MSE. Show that Cp is similar to the GCV criterion given in (5.10), using approximation 1 1 − x 2 ≈ 1 + 2x.

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