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Gamma regression with canonical link (η=−1/μ,μ=−1/η)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Statistical model Statistical modelling Generalized linear model
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For a Gamma distribution with fixed shape α, choose dispersion ϕ=1/α, canonical parameter θ=−1/μ, and cumulant b(θ)=−log(−θ). The canonical link function is the displayed negative reciprocal; reversing its sign is an equivalent regression convention. For independent observations, the score function is ϕ−1XT(y−μ) and the Fisher information matrix is ϕ−1XTdiag(μi2​)X. The deviance is 2∑i​[yi​/μ​i​−1−log(yi​/μ​i​)], with twice the log-likelihood ratio equal to this divided by ϕ. The fitted mean is the inverse link applied to Xβ​, not Xβ​ itself.

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  • Past exam of the mathematics course of the University of Cambridge / 2007 / ii / Paper 4 / 13I / Solution

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