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Adjusted R-squared type measure for exponential dispersion models

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  • Ricci, Lila

Abstract

An adjusted R-squared type measure for exponential dispersion models, based on Kullback-Leibler divergences, is described and it is proved that the corrected measure is an asymptotically unbiased estimator of the population value, under the null hypotheses of no covariates.

Suggested Citation

  • Ricci, Lila, 2010. "Adjusted R-squared type measure for exponential dispersion models," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1365-1368, September.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:17-18:p:1365-1368
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    References listed on IDEAS

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    1. J. C. Van Houwelingen, 2001. "Shrinkage and Penalized Likelihood as Methods to Improve Predictive Accuracy," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 55(1), pages 17-34, March.
    2. Huang, Yufen & Draper, Norman R., 2003. "Transformations, regression geometry and R2," Computational Statistics & Data Analysis, Elsevier, vol. 42(4), pages 647-664, April.
    3. Ricci, Lila & Martinez, Raul, 2008. "Adjusted R2-type measures for Tweedie models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1650-1660, January.
    4. Cameron, A Colin & Windmeijer, Frank A G, 1996. "R-Squared Measures for Count Data Regression Models with Applications to Health-Care Utilization," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 209-220, April.
    5. Harald Heinzl & Martina Mittlböck, 2002. "Adjusted R2 Measures for the Inverse Gaussian Regression Model," Computational Statistics, Springer, vol. 17(4), pages 525-544, December.
    6. Colin Cameron, A. & Windmeijer, Frank A. G., 1997. "An R-squared measure of goodness of fit for some common nonlinear regression models," Journal of Econometrics, Elsevier, vol. 77(2), pages 329-342, April.
    7. Mittlbock, M. & Waldhor, T., 2000. "Adjustments for R2-measures for Poisson regression models," Computational Statistics & Data Analysis, Elsevier, vol. 34(4), pages 461-472, October.
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