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Questions tagged [dglm]

Questions about double generalized linear models, that is, models simultaneuosly fitting a model for the mean and another model for the variance, and quastions about implementations of such models, for instance R package `dglm`. **NOT** for dynamic generalized linear models!

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Gamma GLM goodness-of-fit diagnostics and remedies for double glm

I’m looking for some help in diagnosing a gamma GLM. I am not sure whether the apparently poor fit is to do with the fact that my glm models dispersion rather than the mean, whether I am ...
Fiona's user avatar
  • 11
3 votes
2 answers
244 views

Inconsistency in statistics: parameters estimation with heteroskedasticity

I want to estimate this model $$ y_t = a + b x_t + \sigma x_t\epsilon_t $$ where we have an error with heteroskedasticity (it depends on $x_t$). Suppose I estimate this model with OLS so, assuming ...
gian93's user avatar
  • 31
4 votes
2 answers
13k views

Parameter estimation of Gamma Distribution using R

This question might also be suited to the programming site, but I thought since there is enough on the statistics side, I would use this forum. I am trying to estimate the alpha parameter in a Gamma ...
user76020's user avatar
3 votes
1 answer
5k views

Maximum likelihood estimation under heteroskedasticity (and relation to OLS)

I have a question about MLE and how it relates to OLS. I know how to relate OLS and MLE when the noise is normal and homoskedastic. I can apply the same reason for heteroskedastic noise. My question ...
learning's user avatar
  • 485
10 votes
2 answers
14k views

Simulate linear regression with heteroscedasticity

I am trying to simulate a dataset that matches empirical data that I have, but am unsure how to estimate the errors in the original data. The empirical data includes heteroscedasticity, but I am not ...
user44796's user avatar
  • 469
3 votes
1 answer
131 views

Distribution of dispersion submodel

In double generalized linear models where we assume $y$ follows an exponential dispersion model, where the mean can be modelled as $$g(\mu_i)=x_i^T\beta,$$ and the dispersion $(\phi)$ can be modelled ...
Acarbalacar's user avatar
9 votes
1 answer
1k views

Fitting a heteroscedastic generalized linear model for binomial responses

I have data from the following experimental design: my observations are counts of the numbers of successes (K) out of corresponding number of trials (...
user1701545's user avatar
22 votes
2 answers
93k views

Using R for GLM with Gamma distribution

I currently have a problem understanding the syntax for R for fitting a GLM using the Gamma distribution. I have a set of data, where each row contains 3 co-variates ($X_1, X_2, X_3$), a response ...
Jon Claus's user avatar
  • 605