From: <Bill.Venables_at_csiro.au>

Date: Fri, 20 Feb 2009 10:36:08 +1100

Date: Fri, 20 Feb 2009 10:36:08 +1100

I'm coming late to this, but it is a topic that has arisen elsewhere many times and not a few explanations have been faulty in the past (in particular in the first edition of the GLIM manual, no less!).

Modellers often like to think of the model as consisting of a fixed part, essentially deterministic, perturbed by errors. In this they are comforted and encouraged by the traditional way linear models are presented, i.e.

Y = X beta + E, where E ~ N(0, sigma^2 I)

This additive expression of how 'errors' come into the picture is not always possible, however. An alternative way of expressing this model is

Y ~ N(X beta, sigma^2 I)

where the stochasticity is embedded in the "N" part, without explicit reference to additivity. In this way the extension to, e.g. Poisson loglinear models, is straightforward:

Y ~ Po(exp(X beta))

where the stocasticity is now expressed by the "Po", but this time ther is no going backwards to an additive expression. The "errors" are not explicitly available. This is still a fully specified model, however, and you can define errors in any way you see fit, if that is your wish. e.g. e = y - exp(X beta), e = log(y) - X beta (bit embarrassing if y = 0, though!) &c. However don't ask for the distribution of these errors, because it is just not useful to do so. Rather deal with the model as expressed in the distributional form above. This gives you all you need.

The generalization to generalized linear models is then straightforward

Y ~ f(invlink(X beta); theta)

where f describes the distributional family, X beta is the linear predictor, invlink is the inverse of the link function and theta is any additional parameter needed, like sigma^2.

Why the "inverse link" is used here rather than just the link function is an accident of history, but an instructive one. Before GLMs the tradition was to transform the response to a scale in which something like an additive linear model did apply. The achievement of GLMs is really to switch the transformation to the other side and apply it to the mean of the y instead, rather than to y itself. This is then the inverse link function, with the link function itself still essentially the transformation that would have been historically applied to the response. Thus in the above Poisson example the link is the log function, but the inverse link is the exponential. This way of doing things has many advantages, but one obvious one is that it completely avoids any problem with zero observations, which were a great embarrassment in the old transformation days and there was a thriving cottage industry in how to deal with them. In fact the idea of a glm grew out of a throw-away remark of Fisher when in 1935 Bliss pushed him for a solution to "the case of zero survivors" in probit analysis.

See http://digital.library.adelaide.edu.au/dspace/bitstream/2440/15223/1/126.pdf

This tiny appendix is the birthplace of generalized linear modelling. It all grew from that.

Bill Venables.

Bill Venables

http://www.cmis.csiro.au/bill.venables/

-----Original Message-----

From: owner-anzstat_at_lists.uq.edu.au [mailto:owner-anzstat_at_lists.uq.edu.au] On Behalf Of Patrick Cordue

Sent: Friday, 20 February 2009 9:00 AM

To: anzstat_at_lists.uq.edu.au

Subject: GLMs: show me the model!

I asked a question on GLMs a couple of days ago. In essence I was asking

"what is the model - please write it down - you, know, like for a linear

model: Y = a + bx + e, where e ~N(0,s^2) - can't we do that for a GLM?"

I come from a modelling background where the first step is to "write down

the model"; the second step is to look for tools which will provide

estimates of the unknown parameters; (I am assuming we already have a data

set). If my model is a GLM, then I can just use glm() in R. So, I wanted to

know the form of the GLM models for different families and link functions.

In particular, which implied simple additive errors (Y = mu + e) and which

implied simple multiplicative errors (Y = mu * e)?

(where mu = E(Y))

The answer provided by Murray Jorgensen is correct:

"In glms there is no simple characterisation of how the

systematic and random parts of the model combine to give you the data

(other than the definition of the glm, of course)."

Clearly for discrete distributions, it makes no sense to look for a

"building block" error e which can be added/multiplied to/by the expectation

to provide the response variable. My question was aimed at continuous

distributions.

Murray Smith (from NIWA) provided some useful comments (see below), which, I

think, get to the heart of my question.

However, I deduced the following results from first principles:

For the Gaussian family, Y = mu + e where e ~ N(0, s^2) (and E(Y) = mu =

m(eta) where eta is the linear combination of the explanatory/stimulus

variables, and m^-1 is the link function) is a GLM. I take this to imply

that when one fits a model using glm() with a Gaussian family and any link,

that the implied error structure is additive.

For the Gamma family, Y = mu * e where e ~ Gamma(k, 1/k) is a GLM. I take

this to imply that when one fits a model using glm() with a Gamma family and

any link, that the implied error structure is multiplicative.

For the inverse Gaussian family the implied model does not have a simple

additive or multiplicative error structure (someone might know how to write

down the model in this case - but not me).

Thanks to everyone who provided comments and references.

--------------------------------------

Murray H. Smith wrote:

"In most GLMs the error is neither multiplicative nor additive. Parameterize

the 1-parameter error family by the mean (fixing any dispersion or shape

parameters, which is what pure GLM is with the added constraint that the

error distribution belongs to a 1-parameter exponential family).

We can only write

y ~ mu + e or y ~ mu*e

for e not depending on mu, if mu is a location or scale parameter for the

error family. I.e.

y ~ f( y;mu) where f(y;mu) = f(y - mu; mu =0)

or

y ~ f( y;mu) where f(y;mu) =1/mu* f(y/mu; mu =1)

The variance function V(mu), the variance expressed as a function of the

mean, must be constant for an additive error and proportional to mu^2 for

multiplicative."

-- ----- Patrick Cordue Director Innovative Solutions Ltd www.isl-solutions.co.nz ---- FOR INFORMATION ABOUT "ANZSTAT", INCLUDING UNSUBSCRIBING, PLEASE VISIT http://www.maths.uq.edu.au/anzstat/ ---- FOR INFORMATION ABOUT "ANZSTAT", INCLUDING UNSUBSCRIBING, PLEASE VISIT http://www.maths.uq.edu.au/anzstat/Received on Fri Feb 20 2009 - 09:36:15 EST

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