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

A generalized linear model specifies independent responses in an exponential dispersion family, their means ${\mu }_i=E(Y_i)$, and a link function connecting those means to a linear predictor. In the common notation,where $a_i$ are known positive weights, $\varphi$ is the common dispersion parameter, and $V({\mu }_i)=b^{\prime \prime }({\theta }_i)$ is the variance function. The systematic part isHere $x_i$ is a row of the known design matrix and $\beta$ contains the unknown regression coefficients. The link function is invertible on the permitted mean domain; the canonical link function takes the mean to the natural parameter. This separates distributional, predictor, and link assumptions: it does not require the response itself to be normally distributed or the mean itself to be linear in the covariates.