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malmgrek / gammy

:octopus: Generalized additive models in Python with a Bayesian twist
MIT License
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Tweedie distribution #3

Closed nickcorona closed 10 months ago

nickcorona commented 3 years ago

Is there a way to fit a gam with a Tweedie distribution?

A Tweedie distribution is a mixture between a poison and a gamma distribution. It helps model insurance losses with a significant positive probability mass at 0 (because most customers do not claim losses).

malmgrek commented 3 years ago

Currently there is no out-of-the-box utility for defining a Tweedie distribution. Do you know a good reference for computation of Tweedie distribution's covariance kernel?