I have a set of general questions which have been bugging me for a while.
Amongst the three most commonly used penalties for linear regression(AIC, BIC and Mallow’s cp), which one is relatively more trustworthy? I understand that they are all relative measures and have their own caveats.
What should I do when the bic and cp of my best subsets regression disagree?
How does cross validation tie into this particular process?
Thank you for taking time to answer!!