Programming the statistical procedures from SAS

GLM - inverse gaussian distribution

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Contributor
Posts: 39

GLM - inverse gaussian distribution

I am estimating a GLM where the response variable is very skewed. So, I used gamma distribution and log link options. Now, for a comparison purpose, I was trying Normal distribution and Inverse Gaussian distribution. The model give similar coefficients with Normal distribution, but with Inverse Gaussian, the estimations are different, and the predicted values almost blows up (veryyy large). Any idea why this is happening? 

Thanks for any help you could provide.

Regular Contributor
Posts: 152

Re: GLM - inverse gaussian distribution

Without seeing your data and SAS programming statements, it's difficult to tell.  However, according to that great statistical reference, Wikipedia, the maximum likelihood estimates of the two parameters of the inverse Gaussian distribution depend on the reciprocals of the observation values.  If any of these values is close to zero, this could cause problems in estimation and prediction; if the predictions that "blow up" are associated with observation values close to zero, then this may explain what is happening.  I don't know whether adding a constant to the observation values (translating the values away from zero) would improve these predictions.

Contributor
Posts: 39

Re: GLM - inverse gaussian distribution

I understand it might be hard to say whats going on without looking at the data. I can see the independent variable with the largest range is creating the problem. With inverse gaussian, the estimated  coefficient for this variable is quite large causing over predictions.

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