Generalized Linear Model
Generalized Linear Model (GLM) is a linear regression method.
Contents
Design
A GLM has three components.
A distribution to characterize outcomes.
A linear model to relate an outcome with one or more independent variable(s).
A link function to relate the linear model with expected outcomes.
The distribution can be any PDF.
The link function generally is a non-linear transformation, such as a logarithm.
As an example, OLS is a particular form of a GLM where:
outcomes are assumed to be normally distributed
outcomes are linearly modeled like y = Xb
a link function of 1 is implicitly used