Finite mixture of tweedie

Question

I'm trying to estimate a finite mixture of tweedie (or compound Poisson-gamma) distributions. I have scoured any resources I can think of, without finding any resources on how to do this.

I am currently trying to use the flexmix package in R writing a different M-step driver, as outlined in the flexmix vignette on pages 12-14. Here is my code, which relies on the cplm package:

tweedieClust <- function(formula = .~.,offset = NULL){
require(tweedie)
require(cplm)
require(plyr)
require(dplyr)
retval <- new("FLXMC", weighted = TRUE, formula = formula, dist = "tweedie",
              name = "Compound Poisson Clustering")

retval@defineComponent <- expression ({
    predict <- function(x, ...) {
        pr <- mu
    }
    logLik <- function(x, y, ...){
        dtweedie(y, xi = p, mu = mu, phi = phi) %>%
             log
    }
    new("FLXcomponent",
        parameters=list(coef=coef),
        logLik=logLik, predict=predict,
        df=df)
})
retval@fit <- function (x, y, w, component) {
    fit <- cpglm(formula = y ~ x, link = "log", weights=w, offset=offset)
    with(list(coef = coef(fit), df = ncol(x),mu = fit$fitted.values,
              p = fit$p, phi = fit$phi),
         eval(retval@defineComponent))
}
retval
}

However, this results in the following error:

Error in dtweedie(y, xi = p, mu = mu, phi = phi) : binary operation on non-conformable arrays

Has anyone done or seen a finite mixture of tweedie distributions? Can you point me in the right direction to accomplish this, using flexmix or otherwise?

Answer 1

The problem is somewhere in the weights part, if you remove it, it works:

tweedieClust <- function(formula = .~.,offset = NULL){
  require(tweedie)
  require(statmod)
  require(cplm)
  require(plyr)
  require(dplyr)
  retval <- new("FLXMC", weighted = F, formula = formula, dist = "tweedie",
            name = "Compound Poisson Clustering")

  retval@defineComponent <- expression ({
    predict <- function(x, ...) {
      pr <- mu
    }
    logLik <- function(x, y, ...){
      dtweedie(y, xi = p, mu = mu, phi = phi) %>%
        log
    }
    new("FLXcomponent",
        parameters=list(mu=mu,xi=p,phi=phi),
        logLik=logLik, predict=predict,
        df=df)
  })
  retval@fit <- function (x, y, w, component) {
    fit <- cpglm(formula = End~.,data=dmft, link = "log")
    with(list(df = ncol(x), mu = fit$fitted.values,
              p = fit$p, phi = fit$phi),
         eval(retval@defineComponent))
  }
  retval
}

example:

library(flexmix)
data("dmft", package = "flexmix")
m1 <- flexmix(End ~ .,data=dmft, k = 4, model = tweedieClust())