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Poisson slope information after eliminating an intercept (Var(β​)≈[∑i​μi​(xi​−xˉμ​)2]−1)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Generalized linear model Poisson regression
2026-10-14  0 By others on same topic  0 Discussions Create my own version
In Poisson regression with log means a+βxi​, the Fisher information matrix is (S0​S1​​S1​S2​​), where Sj​=∑i​xij​μi​. Inverting this matrix gives slope variance S0​/(S0​S2​−S12​). Writing xˉμ​=S1​/S0​ reduces it to the displayed reciprocal weighted sum of squares. Thus a common intercept consumes information about the overall rate, while slope information comes from the spread of the covariates under the mean-count weights. Constant covariates make the two parameters unidentifiable.

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  • Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 41 / 2 / Solution

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