Extended generalized linear models: Simultaneous estimation of flexible link and variance functions
Anirban Basu
Section of General Internal Medicine, University of Chicago
and
Decision and Information Sciences Division,
Argonne National Laboratory
5841 S Maryland Ave, MC-2007, Chicago IL 60637
[email protected]
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Abstract. I describe a command that simultaneously solves the extended estimating
equations estimator for parameters in the link and variance functions along
with those of the linear predictor in a generalized linear model. The method
addresses difficulties in choosing the correct link and variance functions
in these models. It decouples the scale of estimation for the mean model,
determined by the link function, from the scale of interest for the
scientifically relevant effects. It also estimates a flexible variance
structure from the data, leading to efficient estimation.
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Anirban Basu
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pglm, pglmpredict, EEE, GLM, skewed, costs, estimating equations, link functions, variance functions
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