Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

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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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 variable ($Y$), and a shape parameter ($K$). I want…
Jon Claus
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10
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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 interested in transforming it away, but rather…
user44796
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9
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1 answer

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 (N), measured for two groups each comprised of I individuals, from T treatments, where in each such…
user1701545
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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 that the error is homoskedastic. In particular,…
gian93
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3
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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 is that, clearly, the noise terms are no longer…
learning
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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 distribution using maximum likelihood method, and…
user76020
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