Details

    • Type: New Feature
    • Status: Resolved
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: None
    • Fix Version/s: 2.2.0
    • Component/s: ML
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      Important

      Description

      I propose to add the full Tweedie family into the GeneralizedLinearRegression model. The Tweedie family is characterized by a power variance function. Currently supported distributions such as Gaussian, Poisson and Gamma families are a special case of the Tweedie.

      I propose to add support for the other distributions:

      • compound Poisson: 1 < variancePower < 2. This one is widely used to model zero-inflated continuous distributions.
      • positive stable: variancePower > 2 and variancePower != 3. Used to model extreme values.
      • inverse Gaussian: variancePower = 3.

      The Tweedie family is supported in most statistical packages such as R (statmod), SAS, h2o etc.

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              • Assignee:
                actuaryzhang Wayne Zhang
                Reporter:
                actuaryzhang Wayne Zhang
                Shepherd:
                Yanbo Liang
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