Evaluation of Tweedie Exponential Family Models

Maximum likelihood computations for Tweedie families, including the series expansion (Dunn and Smyth, 2005; ) and the Fourier inversion (Dunn and Smyth, 2008; ), and related methods.


DATE ; tweedie 2.3.2

  • Added outputs gamma.mean and gamma.phi to tweedie.convert()
  • Added more error checks to tweedie.convert() to prevent a model being provided

15 November 2017: tweedie 2.3.1

  • Updated pwteedie.series to fix a bug (reported by Lu Yang), where incorrect answers could sometimes be returned.
  • Other minor fixes

06 November 2017: tweedie 2.3.0 - Fixed an issue with AICtweedie, where the incorrect AIC was given when prior weights used (reported by David Scollnik) - Fixed a compilation error (in the subroutine smallp, where variables were declared as initialised (many thanks to Iñaki Úcar [email protected]) - Other minor edits.

23 August 2017: tweedie 2.2.10

  • Kept it even more quiet

22 August 2017: tweedie 2.2.9

  • Fixed tweedie.f to keep it quiet more often (sometimes, diagnostic reports meant for internal monitoring, were printed)
  • Fixed a problem reported by Gustavo Lacerda, where ptweedie() returned NaN
  • As a result, the series is now used in far more cases when 1<xi<2 for ptweedie()
  • Changed rtweedie() algorithm for the case 1<xi<2 (thanks to Carlos J. Gil Bellosta)
  • New function tweedie.convert() added

19 December 2016: tweedie 2.2.5

  • Added CITATION file
  • Fixed an issue where the Tweedie cdf could return a value greater than one (reported by Jeremie Juste)
  • Minor tidy of FORTRAN code
  • Minor tidies in R code

June 2014: tweedie 2.1.9

  • Some administrative fixes for CRAN

10 July 2013: tweedie 2.1.8

- Fixed an issue where ptweedie() would fail for very small y; set this to 0 when y<1.0e-300
	(based on a report by Johann Cuenin)

15 January 2013: tweedie 2.1.7 - Admin release (e.g. .First.lib() removed) - Some minor edits to manual - Added the control input to tweedie.profile() (thanks to Giri Khageswor, DPI Victoria) - Minor fixes in the manual

01 November 2012: tweedie 2.1.5 - Changed the example in tweedie-package to execute faster (CRAN requirement)

31 October 2012: tweedie 2.1.4 - Fixed an error in dtweedie() that reported NA in the case when power=1 and phi!=1 (thanks to Dina Farkas) - [dqpr]stable now in package stabledist rather then fBasics; fixed - Fixed some typos in the help for tweedie-package (thanks to Peng Yu) - rtweedie reported an error if power=1; fixed (thanks for Peng Yu)

  • Edits to conform with new first argument of .Fortran (i.e. .NAME rather than name)

09 June 2011: tweedie 2.1.0 - Changed tweedie.profile to ignore values of p/xi outside (1,2) rather than report an error. - In some unusual cases, when p/xi=0 was used (with add0=TRUE), the mle of p was between 0 and 1 (which is impossible). We report a warning message to check the data and the call to tweedie.profile(), but then set the mle to the value of p/xi giving the larger value of the likelihood - Made the functions usually called by users able to accept xi or power - A few minor edits to FORTRAN code; some variables not declared

08 June 2011: tweedie 2.0.8 - Minor fixes to documentation - Fixed the add0 input - Some minor changes to the code to tidy up adding the zero - If values of xi/p are given between 0 and 1, or less than 0, they are now omitted (with a message) rather than creating an error.
If there are no values left after omitting the problem value, an error message is given.

30 September 2010: tweedie 2.0.7

  • Ensured tweedie.profile does not use power=1. This case (power=1 and phi not equal to 1) is too hard for me to deal with at present.
  • Fixed an error introduced in version 2.0.5, where the value of xi/vec/p.vec was set to 1.2 (y>=0) or 1.5 (y>0) when not explictly specified
  • Fixed an error that reported the wrong mle of phi when the mle occured at an endpoint of the given xi values.

26 August 2010: tweedie 2.0.5

  • Change to dtweedie.inversion to ensure density=0 is returned when y<0 (1<p<2) or p<-0 (when p>2)
  • Change to tweedie.profile to fix a problem that p=1 returned an error
  • Changed so that tweedie.profile works withg p/xi = 0 when add0=TRUE (default is FALSE)
  • Fixed some minor outputting messages (when verbose==2)
  • Location of CITATION file moved to correct location

12 July 2010: tweedie 2.0.4

  • Minor edits

18 December 2009: tweedie 2.0.3 - Changed default p.vec: There were too many values - Added the facility to refer to p as xi in line with GLMs text

17 November 2009: tweedie 2.0.1

  • Changed the default p.vec when 1<p<2 to seq(1.2, 1.8, by=0.05) (it was seq(1.2, 1.8, by=0.1) )
  • Slightly changed default output (added sep="" to some paste commands)
  • Added AICtweedie to compute AIC for Tweedie glms

10 August 2009: tweedie 2.0.0

  • Made method="inversion" the default (was "series")
  • Slightly changed default output (added sep="" to some paste commands)

tweedie 1.6.9

  • An error introduced earlier (unsure when exactly; prob v 1.6.1)
  • In trying to identify and fix the error, tidied some of the FORTRAN code
  • Made do.smooth=TRUE the default (was FALSE)
  • If p.vec is not supplied, tweedie.profile makes a sensible guess
  • Made verbose=FALSE the default (was TRUE)
  • Made minor changes to output when verbose=FALSE

tweedie 1.6.8

  • Correct error in dtweedie.saddle y=0 for 1<p,2 (Thanks to Glenn Meyers [email protected])

tweedie 1.6.7

  • Correct error in rtweedie when power=1 and phi\ne 1 (Thanks to Frederic Gosselin [email protected])

tweedie 1.6.6

  • Corrected specification of GPL; no changes to functionality, code or documentation

tweedie 1.6.5

  • In dtweedie, added power==3 (inverse Gaussian) as a special case
  • Minor change in documentation

tweedie 1.6.4

  • Added data, weights, and offset input arguments
  • Fixed a bug where "=>" was used rather than ">="

tweedie 1.6.3

  • Fixed a bug in tweedie.profile: exact zeros still allowed p=2 (but not p>2)

tweedie 1.6.2

  • Fixed a bug in ptweedie.inversion where variable cdf was undefined
  • Fixed a bug in qtweedie where any(power)<1 should have been any(power<1)

tweedie 1.6.1

  • Fixed error in tweedie.f (twice) where a float was used in a do-loop

tweedie 1.6

  • Fixed a bug in ptweedie: It now returns 0 when y<0 (rather than reporting an error)
  • Fixed a bug in ptweedie.inversion: y.len was undefined
  • Fixed a bug in dwteedie.inversion: if( any(phi<0) ) written as if (any(phi) <0 )

tweedie 1.5.3:

  • Built for R version 2.6.0
  • Changed the tweedie.plot to produce no default x and y labels

tweedie 1.5.2:

  • Built for R version 2.5.1
  • Removed the inversion computation from the example for dtweedie; it was very slow and hence caused problems

tweedie 1.5.1:

  • Built for R version 2.5.0
  • Fixed citation details
  • Added note in dtweedie help page indicating where the methods are defined (Dunn and Smyth, 2007).
  • Added tweedie-package.Rd
  • Fixed a small bug in dtweedie.inversion (replaced p with power)

02 May 2007: tweedie 1.5

  • Built for R version 2.5
  • Made change to use of pmatch in function tweedie
  • Swapped the order of methods 1 and 2 in the call of tweedie.inversion to make consistent with a change in the associated paper Dunn and Smyth.
  • Fixed an uninitialized variable error in the FORTRAN code which sometimes caused the inversion procedure to fail.
  • Other minor changes (fixing spelling errors, updated Dunn and Smyth reference; etc.)

04 December 2006: tweedie 1.4

  • Some very minor changes (some cosmetic) in the code
  • Made the code more robust, exiting gracefully when Inf and NA appear in the computed log-likelihood
  • Slightly changed the output plot in tweedie.profile, to reflect that some value of p.vec may not have a corresponding likelihood computed accurately (or, indeed, at all)
  • Added new function tweedie.plot to make it easier to plot Tweedie densities

tweedie 1.02

  • Built for R version 2.0.0
  • Major fix: The mle estimate of phi was incorrect in tweedie.profile (thanks Sarah Lennox, QDPI&F)
  • Some better warnings in tweedie.profile
  • tweedie.profile now allows the actual computed points to be added to the plot using the do.points option (default is TRUE)
  • The tweedie.profile function now smooth and computes confidence intervals even when the computed likelihood values contain Infs or NAs.

tweedie 1.01

  • Built for R version 1.9
  • fixed a bug in rtweedie: it failed for p=2 (thanks Sarah Lennox, QDPI&F)
  • fixed a bug in qtweedie: it failed in some cases (thanks Gordon Smyth, WEHI)
  • added a proper .First.lib function (!) (thanks to James Wettenhall and Gordon Smyth, WEHI)
  • other minor bugs fixed
  • the tweedie family function removed, and package made dependent on the statmod package
  • updated for R version 1.9

tweedie 1.0

  • Built for R version 1.7

Reference manual

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2.3.3 by Peter K. Dunn, 9 months ago

Browse source code at https://github.com/cran/tweedie

Authors: Peter K. Dunn [cre, aut]

Documentation:   PDF Manual  

Task views: Probability Distributions

GPL (>= 2) license

Suggests stabledist, statmod

Imported by ChainLadder, GlmSimulatoR, HeritSeq, cplm, ecoCopula, mvabund.

Suggested by bayestestR, dsm, mcglm, performance, raw, statmod, uplifteval.

See at CRAN