topic Re: proc genmod / inverse gaussian in Statistical Procedures

proc genmod / inverse gaussian

nassimasas — Sun, 23 Nov 2014 20:17:37 GMT

Hello everyone,

By estimating the count data (number of claims per insured) with an inverse Gaussian distribution by the GENMOD procedure SAS, SAS does not take the zero (0) data. Indeed for the dependent variable (number of claims) many contract have a number of claims 0. when I execute the GENMOD procedure with a IG distribution (inverse Gaussian ) these data are not considered (Invalid Response Values).

how do I do in this case to ensure that SAS uses all data including where zero variable for the inverse Gaussian distribution?

thank you in advance

Nassima

Re: proc genmod / inverse gaussian

lvm — Mon, 24 Nov 2014 16:27:13 GMT

You can't. The inverse gaussian distribution is only defined for nonzero positive values. Same for the gamma.

Re: proc genmod / inverse gaussian

nassimasas — Mon, 24 Nov 2014 20:02:22 GMT

Hi, thanks

but I have found in the actuarial literature that the number of claims can be adjusted by an inverse Gaussian distribution

Re: proc genmod / inverse gaussian

lvm — Mon, 24 Nov 2014 22:07:52 GMT

I would need to see what they did, because the IG is undefined at 0. One could model the data as a mixture of two distributions, with a different distribution for zeros. But you can only do this in Genmod with discrete distributions. Perhaps PROC FMM.

Re: proc genmod / inverse gaussian

StatDave — Tue, 25 Nov 2014 15:56:46 GMT

If your data are counts, then you should consider using a discrete distribution rather than a continuous one. Count data are typically modeled using Poisson, negative binomial, or zero-inflated versions of those distributions. Those distributions allow zero values. Models using these distributions can be fit using PROC GENMOD.