All Questions
Tagged with dglm generalized-linear-model
4 questions
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 ...
- 82.8k
3
votes
1
answer
136
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 ...
- 13.5k
22
votes
2
answers
95k
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 ...
- 82.8k
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 (...
- 82.8k