What is a Generalized Linear Model?
A traditional linear model
is of the form
where yi is the response variable for the ith observation.
The quantity xi is a column vector of covariates, or
explanatory variables, for observation i that is known from the
experimental setting and is considered to be fixed, or nonrandom.
The vector of unknown coefficients is
estimated by a least squares fit to the data y.
The are assumed to be independent, normal
random variables with zero mean and constant variance.
The expected value of yi, denoted by , is
While traditional linear models are used extensively
in statistical data analysis, there are types of
problems for which they are not appropriate.
A generalized linear model extends the traditional
linear model and is, therefore, applicable to a
wider range of data analysis problems.
A generalized linear model
consists of the following components:
- It may not be reasonable to assume
that data are normally distributed.
For example, the normal distribution
(which is continuous) may not be adequate
for modeling counts or measured proportions
that are considered to be discrete.
- If the mean of the data is naturally restricted to a range
of values, the traditional linear model may not be
appropriate, since the linear predictor
can take on any value.
For example, the mean of a measured proportion is between
0 and 1, but the linear predictor of the mean in a
traditional linear model is not restricted to this range.
- It may not be realistic to assume that the variance
of the data is constant for all observations.
For example, it is not unusual to observe data
where the variance increases with the mean of the data.
- The linear component is defined just as it is for
traditional linear models:
- A monotonic differentiable link function
g describes how the expected value of yi
is related to the linear predictor :
- The response variables yi are independent
for i = 1, 2,...and have a probability
distribution from an exponential family.
This implies that
the variance of the response depends on the
mean through a variance function V:
where is a constant and wi
is a known weight for each observation.
The dispersion parameter is
either known (for example, for the binomial or Poisson
distribution, ) or it must be estimated.
See the section "Response Probability Distributions" for the form of a probability
distribution from the exponential family of distributions.
As in the case of traditional linear models,
fitted generalized linear models can be summarized
through statistics such as parameter estimates,
their standard errors, and goodness-of-fit statistics.
You can also make statistical inference about the
parameters using confidence intervals and hypothesis tests.
However, specific inference procedures are usually
based on asymptotic considerations, since exact
distribution theory is not available or is not
practical for all generalized linear models.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.