Flexible Tweedie regression models for continuous data

• Published in: Journal of statistical computation and simulation Vol. 87; no. 11; pp. 2138 - 2152
• Main Authors: Bonat, Wagner Hugo, Kokonendji, Célestin C.
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis 24.07.2017; Taylor & Francis Ltd
• Subjects: Asymptotic methods; Asymptotic properties; Computer simulation; Constrictions; Economic models; Infinity; maximum likelihood; Parameter estimation; Probabilistic inference; pseudo-likelihood; quasi-likelihood; Regression; Regression analysis; Semi-continuous data; Simulation; Tweedie distribution
• ISSN: 0094-9655; 1563-5163
• DOI: 10.1080/00949655.2017.1318876

Tweedie regression models (TRMs) provide a flexible family of distributions to deal with non-negative right-skewed data and can handle continuous data with probability mass at zero. Estimation and inference of TRMs based on the maximum likelihood (ML) method are challenged by the presence of an infinity sum in the probability function and non-trivial restrictions on the power parameter space. In this paper, we propose two approaches for fitting TRMs, namely quasi-likelihood (QML) and pseudo-likelihood (PML). We discuss their asymptotic properties and perform simulation studies to compare our methods with the ML method. We show that the QML method provides asymptotically efficient estimation for regression parameters. Simulation studies showed that the QML and PML approaches present estimates, standard errors and coverage rates similar to the ML method. Furthermore, the second-moment assumptions required by the QML and PML methods enable us to extend the TRMs to the class of quasi-TRMs in Wedderburn's style. It allows to eliminate the non-trivial restriction on the power parameter space, and thus provides a flexible regression model to deal with continuous data. We provide an R implementation and illustrate the application of TRMs using three data sets.