Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 33 / 3 / a

Write $\mu =\alpha /\gamma$ and $\varphi =1/\alpha$. With $\theta =-\gamma /\alpha =-1/\mu <0$, the Gamma exponential dispersion family representation iswhereSubstitution gives the original gamma density, so both unknown parameters are included. The exponential-family derivative identities yield $\mu =b^{\prime }(\theta )=-1/\theta$ and $b^{\prime \prime }(\theta )=1/{\theta }^2={\mu }^2$. ThereforeThe exact natural-parameter canonical link function is $g_{\mathrm{can}}(\mu )=-1/\mu$. The usual inverse-link convention is $g(\mu )=1/\mu$, as used by the printed R fits; multiplying the link and coefficients by $-1$ gives the natural-parameter convention. The sign convention changes neither the fitted means nor the weight matrix below.