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Generalization error for Tweedie models: decomposition and error reduction with bagging
European Actuarial Journal ( IF 0.8 ) Pub Date : 2021-02-08 , DOI: 10.1007/s13385-021-00265-2
Michel Denuit , Julien Trufin

Wüthrich and Buser (DOI:10.2139/ssrn.2870308, 2020) studied the generalization error for Poisson regression models. This short note aims to extend their results to the Tweedie family of distributions, to which the Poisson law belongs. In case of bagging, a new condition emerges that becomes increasingly binding with the power parameter involved in the Tweedie variance function.



中文翻译:

Tweedie模型的泛化误差:使用装袋法分解和减少误差

Wüthrich和Buser(DOI:10.2139 / ssrn.2870308,2020)研究了Poisson回归模型的泛化误差。本简短说明旨在将其结果扩展到泊松法则所属的Tweedie分布族。在装袋的情况下,出现了一个新的条件,该条件变得越来越与Tweedie方差函数中涉及的功效参数绑定在一起。

更新日期:2021-03-14
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