RE: [R] GLM question

From: Gesmann, Markus <Markus.Gesmann_at_lloyds.com>
Date: Tue 31 May 2005 - 23:54:40 EST


It appears that you try to do some insurance reserving analysis. Have a look at http://finzi.psych.upenn.edu/R/Rhelp02a/archive/15315.html, this might be helpful.

Regards

Markus

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Laetitia Mestdagh Sent: 31 May 2005 14:44
To: r-help@stat.math.ethz.ch
Subject: [R] GLM question

I am unfamiliar with R and I'm trying to do few statistical things like GLM and GAM with it. I hope my following questions will be clear enough:  

My datas ( y(i,j ))are run off triangles for example :    

J=1

J=2

J=3

I=1

1

2

3

I=2  

4

5  

I=3

6        

My model is :  

E[y(i,j)] =m(i,j)

Var[y(i,j)] =constant *m(i,j)  

Log(m(i,j)) = eta (i,j)  

eta (i,j) = c + alpha(i) + beta(j)  

The y(i,j) are the response and they have no specified distribution.  

Here is what I did and I'm not getting the right results:  

> y1<-c(1,0,0,0,0)

> y2<-c(1,0,0,1,0)

> y3<-c(1,0,0,0,1)

> y4<-c(1,1,0,0,0)

> y5<-c(1,1,0,1,0)

> y6<-c(1,0,1,0,0)

> C<-matrix(nrow = 6, ncol = 5, byrow= TRUE)

> C[1,]<-y1

> C[2,]<-y2

> C[3,]<-y3

> C[4,]<-y4

> C[5,]<-y5

> C[6,]<-x6
 

> m<-c(1,2,3,4,5,6)

> Cdata<-data.frame(C[,1],C[,2],C[,3],C[,4],C[,5])

>fmp<-glm(m~C,family = quasipoisson(link = log),data=Cdata)

> fitted.values(fmp)

   1 2 3 4 5 6

1.25 1.75 3.00 3.75 5.25 6.00  

So my question are : - Why are the fitted wrong (except for 3 and 6)?

I am a little bit lost and not an expert of R, so I thank in advance for any kind of advice  

Laetitia                 


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