[R] accuracy of GLM dispersion parameters
Timothy_Handley at nps.gov
Timothy_Handley at nps.gov
Mon Nov 29 20:34:27 CET 2010
I'm confused as to the trustworthiness of the dispersion parameters
reported by glm. Any help or advice would be greatly appreciated.
Context: I'm interested in using a fitted GLM to make some predictions.
Along with the predicted values, I'd also like to have estimates of
variance for each of those predictions. For a Gamma-family model, I believe
this can be done as Var[y] = dispersion parameter * predicted value ^ 2.
Thus, I'm interested in knowing the dispersion parameter for this fitted
model.
Specifics: The summary function says that my fitted GLM has a dispersion
parameter=15.8. On the other hand, the gamma.dispersion function (MASS)
says that the GLM uses a dispersion parameter of 1.86. I could understand
some modest difference, as the help for gamma.shape() says that the MASS
functions return a more accurate dispersion value than summary(). However,
these two numbers differ by a factor of 8, which is quite a lot. Is this
normal? Would you folks expect such a large difference? Which value should
I trust?
R terminal excerpt:
> summary(tempglm_g2)
Call:
glm(formula = precip_sbi ~ precip_oxx + precip_oxx_sq, family = Gamma(link
= identity),
data = w.combo, start = c(0.1, 0.4, 0.02))
Deviance Residuals:
Min 1Q Median 3Q Max
-2.99999 -1.63183 -1.00720 0.04878 8.93461
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.09236 0.04834 1.911 0.0583 .
precip_oxx 0.26848 0.35891 0.748 0.4558
precip_oxx_sq 0.05138 0.13418 0.383 0.7024
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
(Dispersion parameter for Gamma family taken to be 15.78978)
Null deviance: 528.73 on 130 degrees of freedom
Residual deviance: 305.81 on 128 degrees of freedom
AIC: -100.33
Number of Fisher Scoring iterations: 5
> library(MASS)
> gamma.shape(tempglm_g2)
Alpha: 0.53807358
SE: 0.05526108
> gamma.dispersion(tempglm_g2)
[1] 1.858482
Thanks,
Tim Handley
Research Assistant
Channel Islands National Park
(Will be working from both CHIS and SAMO)
CHIS Phone: 805-658-5759
SAMO Phone: 805-370-2300 x2412
More information about the R-help
mailing list