chainladder.TweedieGLM#
- class chainladder.TweedieGLM(design_matrix='C(development) + C(origin)', response=None, weight=None, power=1.0, alpha=1.0, link='log', max_iter=100, tol=0.0001, warm_start=False, verbose=0)#
This estimator creates development patterns with a GLM using a Tweedie distribution.
The Tweedie family includes several of the more popular distributions including the normal, ODP poisson, and gamma distributions. This class is a special case of DevleopmentML. It restricts to just GLM using a TweedieRegressor and provides an R-like formulation of the design matrix.
New in version 0.8.1.
- Parameters:
- design_matrix: formula-like
A patsy formula describing the independent variables, X of the GLM
- response: str
Column name for the reponse variable of the GLM. If ommitted, then the first column of the Triangle will be used.
- weight: str
Column name of any weight to use in the GLM. If none specified, then an unweighted regression will be performed.
- power: float, default=0
The power determines the underlying target distribution according to the following table: +——-+————————+ | Power | Distribution | +=======+========================+ | 0 | Normal | +——-+————————+ | 1 | Poisson | +——-+————————+ | (1,2) | Compound Poisson Gamma | +——-+————————+ | 2 | Gamma | +——-+————————+ | 3 | Inverse Gaussian | +——-+————————+ For
0 < power < 1
, no distribution exists.- alpha: float, default=1
Constant that multiplies the penalty term and thus determines the regularization strength.
alpha = 0
is equivalent to unpenalized GLMs. In this case, the design matrix X must have full column rank (no collinearities).- link: {‘auto’, ‘identity’, ‘log’}, default=’auto’
The link function of the GLM, i.e. mapping from linear predictor X @ coeff + intercept to prediction y_pred. Option ‘auto’ sets the link depending on the chosen family as follows: - ‘identity’ for Normal distribution - ‘log’ for Poisson, Gamma and Inverse Gaussian distributions
- max_iter: int, default=100
The maximal number of iterations for the solver.
- tol: float, default=1e-4
Stopping criterion. For the lbfgs solver, the iteration will stop when
max{|g_j|, j = 1, ..., d} <= tol
whereg_j
is the j-th component of the gradient (derivative) of the objective function.- warm_start: bool, default=False
If set to
True
, reuse the solution of the previous call tofit
as initialization forcoef_
andintercept_
.- verbose: int, default=0
For the lbfgs solver set verbose to any positive number for verbosity.
- Attributes:
- model_: sklearn.Pipeline
A scikit-learn Pipeline of the GLM
Methods
fit_transform
(X[, y])Fit to data, then transform it.
get_metadata_routing
()Get metadata routing of this object.
get_params
([deep])Get parameters for this estimator.
set_backend
(backend[, inplace, deep])Converts triangle array_backend.
set_fit_request
(*[, sample_weight])Request metadata passed to the
fit
method.set_output
(*[, transform])Set output container.
set_params
(**params)Set the parameters of this estimator.
to_json
()Serializes triangle object to json format
to_pickle
(path[, protocol])Serializes triangle object to pickle.
fit
pipe
transform