OLS vs GLM: Model Assumptions

Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Linear Models. 30 min read, ~4,521 words.

OLS assumes a normal, constant-variance error and a linear mean:,. Violate any of these and inference is unreliable. GLMs relax three OLS assumptions: the response can be any exponential-family distribution, variance can depend on the mean via, and a link puts the linear predictor on a different scale than. OLS...