OLS vs GLM: Model Assumptions
Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Linear Models. 29 min read, ~4,321 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, and a link function lets the linear predictor live on a different scale than...
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Example 4
- Example 5
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- 2a
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