tweedie {statmod} | R Documentation |
Produces a generalized linear model family object with any power variance function and any power link. Includes the Gaussian, Poisson, gamma and inverse-Gaussian families as special cases.
tweedie(var.power=0, link.power=1-var.power)
var.power |
index of power variance function |
link.power |
index of power link function. link.power=0 produces a log-link. Defaults to the canonical link, which is 1-var.power . |
This function provides access to a range of generalized linear model response distributions which are not otherwise provided by R, or any other package for that matter. It is also useful for accessing distribution/link combinations which are disallowed by the R glm
function.
Let μ_i = E(y_i) be the expectation of the ith response. We assume that
μ_i^q = x_i^Tb, var(y_i) = phi μ_i^p
where x_i is a vector of covariates and b is a vector of regression cofficients, for some phi, p and q. This family is specified by var.power = p
and link.power = q
. A value of zero for q is interpreted as log(μ_i) = x_i^Tb.
The variance power p characterizes the distribution of the responses y. The following are some special cases:
p | Response distribution |
0 | Normal |
1 | Poisson |
(1, 2) | Compound Poisson, non-negative with mass at zero |
2 | Gamma |
3 | Inverse-Gaussian |
> 2 | Stable, with support on the positive reals |
The name Tweedie has been associated with this family by Jørgensen in honour of M. C. K. Tweedie.
A family object, which is a list of functions and expressions used by glm and gam in their iteratively reweighted least-squares algorithms.
See family
and glm
in the R base help for details.
Gordon Smyth
Tweedie, M. C. K. (1984). An index which distinguishes between some important exponential families. In Statistics: Applications and New Directions. Proceedings of the Indian Statistical Institute Golden Jubilee International Conference. (Eds. J. K. Ghosh and J. Roy), pp. 579-604. Calcutta: Indian Statistical Institute.
Jørgensen, B. (1987). Exponential dispersion models. J. R. Statist. Soc. B 49, 127-162.
Smyth, G. K. (1996). Regression modelling of quantity data with exact zeroes. Proceedings of the Second Australia-Japan Workshop on Stochastic Models in Engineering, Technology and Management. Technology Management Centre, University of Queensland, pp. 572-580.
Jørgensen, B. (1997). Theory of Dispersion Models, Chapman and Hall, London.
Smyth, G. K., and Verbyla, A. P., (1999). Adjusted likelihood methods for modelling dispersion in generalized linear models. Environmetrics 10, 695-709.
y <- rgamma(20,shape=5) x <- 1:20 # Fit a poisson generalized linear model with identity link glm(y~x,family=tweedie(var.power=1,link.power=1)) # Fit an inverse-Gaussion glm with log-link glm(y~x,family=tweedie(var.power=3,link.power=0))