Examines the model's parameters for constraints (e.g. positive variance, etc.)
Syntax
GLM_CHECK(Betas, Phi, Lvk)
Betas are the coefficients of the GLM model (a one dimensional array of cells (e.g. rows or columns)).
Phi is the GLM dispersion paramter. Phi is only meaningful for Binomial (1/batch or trial size) and for Guassian (variance).
| Distribution | PHI |
|---|---|
| Gaussian | Variance |
| Poisson | 1.0 |
| Binomial | Reciprocal of the batch/trial size) |
Lvk is the link function that describes how the mean depends on the linear predictor (1=Identity (default), 2=Log, 3=Logit, 4=Probit, 5=Log-Log).
| Link | Description |
|---|---|
| 1 | Identity (residuals ~ Normal distribution) |
| 2 | Log (residuals ~ Poisson distribution) |
| 3 | Logit (residuals ~ Binomial distribution) |
| 4 | Probit(residuals ~ Binomial distribution) |
| 5 | Complementary log-log (residuals ~ Binomial distribution) |
Remarks
- The underlying model is described here.
- The GLM_CHECK function examines primarily the value of dispersion factor (Phi):
- For Poisson distribution, the dispersion factor (Phi) must be equal to 1(one).
- For Binomial distribution: the dispersion factor (Phi) must be greater than zero, and less than one.
- For Guassian distribution, the dispersion coefficient (Phi) must be positive.
Files Examples
References
- Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
- Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
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