• Corpus ID: 88517777

Generalized Linear Model for Gamma Distributed Variables via Elastic Net Regularization

@article{Chen2018GeneralizedLM,
  title={Generalized Linear Model for Gamma Distributed Variables via Elastic Net Regularization},
  author={Xin Chen and Aleksandr Y. Aravkin and R. Douglas Martin},
  journal={arXiv: Methodology},
  year={2018}
}
The Generalized Linear Model (GLM) for the Gamma distribution (glmGamma) is widely used in modeling continuous, non-negative and positive-skewed data, such as insurance claims and survival data. However, model selection for GLM depends on AIC/BIC criteria, which is computationally impractical for even a moderate number of variables. In this paper, we develop variable selection for glmGamma using elastic net regularization (glmGammaNet), for which we provide an algorithm and implementation. The… 

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