On Tue, 6 Feb 2007, WILLIE, JILL wrote: > Thank you. You are correct, the shape parameter is what I need to > change & I think I see how to use the MASS package to do it...or if not, > at least I have enough now to figure it out. > > A question to reconcile terminology which will speed me up, if you have > time to help me a bit more: phi = 'scale parameter' vs. 'dispersion > parameter' vs. 'shape parameter'? Excerpt below from the R intro. > manual defining phi & the stats compliment discussion.
You need to compare the complement with MASS the book. The dispersion is 1/shape in the conventional parametrization of the gamma. See ?gamma.dispersion. > > R intro: > > distribution of y is of the form > f_Y(y; mu, phi) = > exp((A/phi) * (y lambda(mu) - gamma(lambda(mu))) + tau(y, phi)) > > where phi is a scale parameter (possibly known), and is constant for all > observations, A represents a prior weight, assumed known but possibly > varying with the observations, and $\mu$ is the mean of y. So it is > assumed that the distribution of y is determined by its mean and > possibly a scale parameter as well. Bill Venables wrote that and the equivalent part of MASS. 'dispersion' is a more common name for phi. > > Statistics Complements to Modern Applied Statistics with S, Fourth > edition By W. N. Venables and B. D. Ripley Springer: > > 7.6 Gamma models > The role of dispersion parameter for the Gamma family is rather > different. This is a parametric family which can be fitted by maximum > likelihood, including its shape parameter > > > Jill Willie > Open Seas > Safeco Insurance > [EMAIL PROTECTED] > > > -----Original Message----- > From: Prof Brian Ripley [mailto:[EMAIL PROTECTED] > Sent: Tuesday, February 06, 2007 12:25 PM > To: WILLIE, JILL > Cc: [email protected] > Subject: Re: [R] glm gamma scale parameter > > On Tue, 6 Feb 2007, Prof Brian Ripley wrote: > >> I think you mean 'shape parameter'. If so, see the MASS package and >> ?gamma.shape. > > Also http://www.stats.ox.ac.uk/pub/MASS4/#Complements > leads to several pages of discussion. > >> >> glm() _is_ providing you with the MLE of the scale parameter, but > really no >> estimate of the shape (although summary.glm makes use of one). >> >> >> On Tue, 6 Feb 2007, WILLIE, JILL wrote: >> >>> I would like the option to specify alternative scale parameters when >>> using the gamma family, log link glm. In particular I would like the >>> option to specify any of the following: >>> >>> 1. maximum likelihood estimate >>> 2. moment estimator/Pearson's >>> 3. total deviance estimator >>> >>> Is this easy? Possible? >>> >>> In addition, I would like to know what estimation process (maximum >>> likelihood?) R is using to estimate the parameter if somebody knows > that >>> off the top of their head or can point me to something to read? >>> >>> I did read the help & search the archives but I'm a bit confused > trying >>> to reconcile the terminology I'm used to w/R terminology as we're >>> transitioning to R, so if I missed an obvious way to do this, or > stated >>> this question in a way that's incomprehensible, my apologies. >>> >>> Jill Willie >>> Open Seas >>> Safeco Insurance >>> [EMAIL PROTECTED] >>> >>> ______________________________________________ >>> [email protected] mailing list >>> https://stat.ethz.ch/mailman/listinfo/r-help >>> PLEASE do read the posting guide >>> http://www.R-project.org/posting-guide.html >>> and provide commented, minimal, self-contained, reproducible code. >>> >> >> > > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
