I've went through the tweedie chapter in the book Generalized Linear Models with Examples in R and it seems that the function tweedie.profile is used to estimate the power index for tweedie glm.
However, that function is pretty slow for even small data. I have a data set that is 60M rows so I don't think that function will work. The model I need to fit would have power index between 1 and 2 (my data has a ton of zeroes). I am not aware of any large data implementations of something like tweedie.profile. How should I go about finding such an estimate for my large data set? Do I just attempt to fit a model with various values for p and just choose one that minimizes something like MSE?