From thomas@biostat.washington.edu  Wed Dec 20 16:18:31 2000
From: thomas@biostat.washington.edu (Thomas Lumley)
Date: Wed, 20 Dec 2000 08:18:31 -0800 (PST)
Subject: [Rd] glm gives incorrect results for zero-weight cases (PR#780)
In-Reply-To: <x21yv346ak.fsf@blueberry.kubism.ku.dk>
Message-ID: <Pine.GSO.4.21.0012200812560.14916-100000@atlas.biostat.washington.edu>

On 20 Dec 2000, Peter Dalgaard BSA wrote:

> ripley@stats.ox.ac.uk writes:
> 
> > The reason is obvious: glm.fit only ever updates eta[good], and 
> > zero-weight values are not `good'.  So eta[weights == 0] is stuck at the
> > initial values.
> > 
> > There are two possible fixes:
> > 
> > 1) Update eta after the final fit, and then mu.  Out of range values
> > could then be NA (although it looks like predict.glm does not check).
> > 
> > 2) Update all eta and hence mu values during the iterations.  This will
> > apply the constraints on eta/mu at zero-weight points too, and so might
> > be different.
> > 
> > I am inclined to think that 2) is right, and that adding points with zero 
> > weight to the fit is not the same as omitting them.
> > 
> > Opinions?
> 
> Just for clarification: This applies only to cases where the
> parametrization is non-canonical, e.g. additive models with Poisson
> response, right? And essentially the issue is that if you have a model
> like lambda = a + b x and you put in a zero-weight observation with x
> = 0, then that should effectively constrain a to be positive. That
> does make quite good sense, yes.
> 

Not just non-canonical. There are boundary problems with gamma/reciprocal
glms.  I would also go for the second solution.


	-thomas


-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-devel mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-devel-request@stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._


[Rd] glm gives incorrect results for zero-weight cases (PR#780)
Thomas Lumley