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I do not understand and neither do I know where to look for the ideas for Cp type statistics and what is it used for.

Could anybody provide some hint or tell me where to look this out.

Thx Sumo

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...and where exactly did you encounter this? –  J. M. Aug 21 '11 at 16:17
    
Are you talking about Mallows' $C_p$? –  cardinal Aug 21 '11 at 16:37
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Mallows' $C_p$ is one of various ways that have been proposed for penalizing overfitting. The idea is that you can make a sufficiently complicated model fit any dataset perfectly by adding enough predictors even those are unrelated to the data. So that is to be avoided.

I'm not sure where the best account in print is, and you don't give us much information about where you are in your understanding of this, so it's hard to know what more to say. But if you go to Google Books and enter "mallows cp", a number of relevant things turn up.

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