tweedie.convert {tweedie} | R Documentation |
Convert Tweedie parameters
Description
Converts Tweedie distribution parameters to the parameters of the underlying distributions
Usage
tweedie.convert( xi=NULL, mu, phi, power=NULL)
Arguments
xi |
the value of |
power |
a synonym for |
mu |
the mean |
phi |
the dispersion |
Details
The Tweedie family of distributions with 1<\xi<2
is the Poisson sum of gamma distributions
(where the Poisson distribution has mean \lambda
,
and the gamma distribution has scale and shape parameters).
When used to fit a glm,
the model is fitted with the usual glm parameters:
the mean \mu
and the dispersion parameter \phi
.
This function converts the parameters
(p, \mu, \phi)
to the values of the parameters of the underlying Poisson distribution \lambda
and gamma distribution (scale and shape parameters).
Value
a list containing the values of
the mean of the underlying Poisson distribution (as poisson.lambda
),
the scale parameter of the underlying gamma distribution (as gamma.scale
),
the shape parameter of the underlying gamma distribution (as gamma.shape
),
the probability of obtaining a zero response (as p0
),
the mean of the underlying gamma distribution (as gamma.mean
),
and
the dispersion parameter of the underlying gamma distribution (as gamma.phi
).
Author(s)
Peter Dunn (pdunn2@usc.edu.au)
References
Dunn, P. K. and Smyth, G. K. (2008). Evaluation of Tweedie exponential dispersion model densities by Fourier inversion. Statistics and Computing, 18, 73–86. doi: 10.1007/s11222-007-9039-6
Dunn, Peter K and Smyth, Gordon K (2005). Series evaluation of Tweedie exponential dispersion model densities Statistics and Computing, 15(4). 267–280. doi: 10.1007/s11222-005-4070-y
Dunn, Peter K and Smyth, Gordon K (2001). Tweedie family densities: methods of evaluation. Proceedings of the 16th International Workshop on Statistical Modelling, Odense, Denmark, 2–6 July
Tweedie, M. C. K. (1984). An index which distinguishes between some important exponential families. Statistics: Applications and New Directions. Proceedings of the Indian Statistical Institute Golden Jubilee International Conference (Eds. J. K. Ghosh and J. Roy), pp. 579-604. Calcutta: Indian Statistical Institute.
See Also
Examples
tweedie.convert(xi=1.5, mu=1, phi=1)