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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2answers
127 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 ...
2
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1answer
6k 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 ...
2
votes
1answer
2k 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 ...
9
votes
2answers
6k 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 ...
9
votes
1answer
927 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 (...
11
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2answers
42k 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 ...