[R] glm

Prof Brian D Ripley ripley at stats.ox.ac.uk
Wed Feb 2 08:55:41 CET 2000

On Wed, 2 Feb 2000, Jim Lindsey wrote:

[> > Quoting me]
> > Note, though, that McCullagh and Nelder argue hard against the MLE of
> > dispersion in the gamma family.
> That argument can be made when a precision interval is required for
> the dispersion parameter (conditional or REML estimate). I do not
> believe that it can be made for substituting the estimate into the
> likelihood or AIC for comparing different models which is the case in
> question here. Jim

Right, It was meant to be an aside as to why MLE estimation of the
dispersion might not be the default in R (or S). I don't think R's glm
should be quoting AICs (but then I have problems with understanding how one
compares two models on the basis of a measure whose derivation requires
each model to be true: there are extensions to AIC, like NIC and p_eff,
that avoid this).


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 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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