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From "Wayne Zhang (JIRA)" <j...@apache.org>
Subject [jira] [Created] (SPARK-18929) Add Tweedie distribution in GLM
Date Mon, 19 Dec 2016 23:35:58 GMT
Wayne Zhang created SPARK-18929:
-----------------------------------

             Summary: Add Tweedie distribution in GLM
                 Key: SPARK-18929
                 URL: https://issues.apache.org/jira/browse/SPARK-18929
             Project: Spark
          Issue Type: New Feature
          Components: ML
    Affects Versions: 2.0.2
            Reporter: Wayne Zhang


I propose to add the full Tweedie family into the GeneralizedLinearRegression model. The Tweedie
family is characterized by a power variance function. Currently supported distributions such
as Gaussian,  Poisson and Gamma families are a special case of the [Tweedie|https://en.wikipedia.org/wiki/Tweedie_distribution].


I propose to add support for the other distributions:
* compound Poisson: 1 < variancePower < 2. This one is widely used to model zero-inflated
continuous distributions. 
* positive stable: variancePower > 2 and variancePower != 3. Used to model extreme values.
* inverse Gaussian: variancePower = 3.

 The Tweedie family is supported in most statistical packages such as R (statmod), SAS, h2o
etc. 





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