Skip to main content
edited body
Source Link

Defining the exponential dispersion family by

$exp\left(\frac{y_{i}\theta - b(\theta_{i})}{\phi} + c(y_{i}, \phi, w_{i})\right)$$exp\left(\frac{x_{i}\theta - b(\theta_{i})}{\phi} + c(x_{i}, \phi, w_{i})\right)$

I'd like to change the usual Inverse-Gaussian density below to the form above.

$\left( \frac{\lambda}{2\pi x^{3}} \right)^{1/2}exp\left( \frac{-\lambda(x-\mu)^{2}}{2\mu^{2}x} \right)$

My book (Fahrmeir & Tutz, Springer) says that

Canonical parameter ($\theta$): $\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $\lambda^{2}$

However my results are a little different from those presented by the author.

$exp\left( \frac{-x/\mu^{2}+2/\mu}{2/\lambda} -\frac{\lambda}{2x}+\frac{ln(\lambda)}{2} - \frac{ln(2\pi x^{3})}{2}\right)$

Canonical parameter ($\theta$): $-\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $2/\lambda$

Defining the exponential dispersion family by

$exp\left(\frac{y_{i}\theta - b(\theta_{i})}{\phi} + c(y_{i}, \phi, w_{i})\right)$

I'd like to change the usual Inverse-Gaussian density below to the form above.

$\left( \frac{\lambda}{2\pi x^{3}} \right)^{1/2}exp\left( \frac{-\lambda(x-\mu)^{2}}{2\mu^{2}x} \right)$

My book (Fahrmeir & Tutz, Springer) says that

Canonical parameter ($\theta$): $\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $\lambda^{2}$

However my results are a little different from those presented by the author.

$exp\left( \frac{-x/\mu^{2}+2/\mu}{2/\lambda} -\frac{\lambda}{2x}+\frac{ln(\lambda)}{2} - \frac{ln(2\pi x^{3})}{2}\right)$

Canonical parameter ($\theta$): $-\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $2/\lambda$

Defining the exponential dispersion family by

$exp\left(\frac{x_{i}\theta - b(\theta_{i})}{\phi} + c(x_{i}, \phi, w_{i})\right)$

I'd like to change the usual Inverse-Gaussian density below to the form above.

$\left( \frac{\lambda}{2\pi x^{3}} \right)^{1/2}exp\left( \frac{-\lambda(x-\mu)^{2}}{2\mu^{2}x} \right)$

My book (Fahrmeir & Tutz, Springer) says that

Canonical parameter ($\theta$): $\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $\lambda^{2}$

However my results are a little different from those presented by the author.

$exp\left( \frac{-x/\mu^{2}+2/\mu}{2/\lambda} -\frac{\lambda}{2x}+\frac{ln(\lambda)}{2} - \frac{ln(2\pi x^{3})}{2}\right)$

Canonical parameter ($\theta$): $-\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $2/\lambda$

Source Link

Exponential Family with Dispersion Parameter Distributions

Defining the exponential dispersion family by

$exp\left(\frac{y_{i}\theta - b(\theta_{i})}{\phi} + c(y_{i}, \phi, w_{i})\right)$

I'd like to change the usual Inverse-Gaussian density below to the form above.

$\left( \frac{\lambda}{2\pi x^{3}} \right)^{1/2}exp\left( \frac{-\lambda(x-\mu)^{2}}{2\mu^{2}x} \right)$

My book (Fahrmeir & Tutz, Springer) says that

Canonical parameter ($\theta$): $\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $\lambda^{2}$

However my results are a little different from those presented by the author.

$exp\left( \frac{-x/\mu^{2}+2/\mu}{2/\lambda} -\frac{\lambda}{2x}+\frac{ln(\lambda)}{2} - \frac{ln(2\pi x^{3})}{2}\right)$

Canonical parameter ($\theta$): $-\frac{1}{\mu^{2}}$

Dispersion parameter ($\phi$): $2/\lambda$