[SciPy-dev] GLMs ?

[David Warde-Farley]

On 14-Aug-09, at 7:29 PM, josef.pktd at gmail.com wrote:

>> Fab'.
>> FYI, I need to fit Tweedie distributions to precipitation series. I
>> have already coded the distributions in the scipy standard, and now I
>> need to estimate the parameters...
>> Thanks again

As I understand it, the Tweedie distributions are a further  
generalization of the exponential family. Are you saying that your  
parametric assumption is that they are Tweedie but not any of the  
standard ones like Gaussian, Poisson, Gamma?

> Are you trying to estimate parameters of the distribution themselves,
> or parameters of the distribution as function of some explanatory
> variables? In the first case, GLM won't be of much help.

Is it that you have samples of a (nonstandard) Tweedie random variable  
that you want to regress on explanatory variables?
You can probably do it by gradient descent but I don't foresee it  
being pretty and probably not even convex. Either way, a GLM package  
probably won't  help.

David