R help - Jul 2005 - (no subject)

Hello,
 
The estimate of glm dispersion can be based on the deviance or on the
Pearson statistic.
I have compared output from R glm() to another statastical package and
it appears that R uses the Pearson statistic.
I was wondering if it is possible to make use R the deviance instead by
modifying the glm(...) function?
Thanks for your attention.
 
Kind regards,
Robin Smit

 

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On Mon, 2005-07-11 at 11:30 +0200, Smit, R. (Robin)
wrote:
> Hello,
>  
> The estimate of glm dispersion can be based on the deviance or on the
> Pearson statistic.
> I have compared output from R glm() to another statastical package and
> it appears that R uses the Pearson statistic.
A quick search would also highlight the following thread
http://www.r-project.org/nocvs/mail/r-help/2002/6938.html
> I was wondering if it is possible to make use R the deviance instead by
> modifying the glm(...) function?
I don't know what the formula for using the deviance is but _IF_ it is
the square root of ratio of null deviance by its degrees of freedom,
then sqrt( fit$deviance / fit$df.null ) should be useful.

> Thanks for your attention.
>  
> Kind regards,
> Robin Smit
> 
>  
> 
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Actually, glm() does not estimate the dispersion at all, so you will need
to be more specific.

For example, summary.glm() and predict.glm() use the Pearson statistic if 
dispersion=NULL (the default) for most families.  You can supply any other 
value you choose, and the MASS package makes use of this for ML estimation 
of the dispersion parameter (related to the shape) of the gamma family.

There are rather good reasons (serious bias) not to use the deviance
estimate in the binomial and Poisson families (see the example plots in
MASS4), and good reasons not to use either in the gamma family.  As the
Pearson and deviance estimates agree for the gaussian, that does leave
begging the question of why you want to do this.  Further, McCullagh &
Nelder have general arguments why the Pearson estimate might always be
preferred to the deviance one.  So that `another statastical package' 
appears to need justification for its choice.


On Mon, 11 Jul 2005, Smit, R. (Robin) wrote:
> The estimate of glm dispersion can be based on the deviance or on the
> Pearson statistic.
> I have compared output from R glm() to another statastical package and
> it appears that R uses the Pearson statistic.
> I was wondering if it is possible to make use R the deviance instead by
> modifying the glm(...) function?
> Thanks for your attention.
-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
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