Fitting of GLM with statsmodels

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Python's statsmodels module offers a set of methods to estimate GLM as illustrated in https://www.statsmodels.org/devel/examples/notebooks/generated/glm.html

e.g.

glm_binom = sm.GLM(data.endog, data.exog, family=sm.families.Binomial())

What is the link function in above example? Is it logit link? How can I use other link like loglog?

I tried below without any success

glm_binom = sm.GLM(data.endog, data.exog, family=sm.families.Binomial(link = 'loglog'))

Any pointer will be very helpful

statsmodels python-3.x
1 Answers

In the latest statsmodels stable release (currently v0.13.2), only the following link functions are available for each sm.families.family:

Family ident log logit probit cloglog pow opow nbinom loglog logc
Gaussian X X X X X X X X X
Inv Gaussian X X X
Binomial X X X X X X X X X
Poisson X X X
Neg Binomial X X X X
Gamma X X X
Tweedie X X X

Alternatively, the list of available link functions can be obtained by:

sm.families.family.<familyname>.links

Lastly, in order to change the default link function of the GLM in statsmodels you need to specify the link parameter in the family parameter:

sm.GLM(y, X, family=sm.families.Binomial(link=sm.families.links.loglog()))

P.S. The default link for the Binomial family is the logit link.

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