An Alternative Estimator for Poisson–Inverse-Gaussian Regression: The Modified Kibria–Lukman Estimator

Poisson regression is used to model count response variables. The method has a strict assumption that the mean and variance of the response variable are equal, while, in practice, the case of overdispersion is common. Also, in multicollinearity, the model parameter estimates obtained with the maximum likelihood estimator are adversely affected. This paper introduces a new biased estimator that extends the modified Kibria–Lukman estimator to the Poisson–Inverse-Gaussian regression model to deal with overdispersion and multicollinearity in the data. The superiority of the proposed estimator over the existing biased estimators is presented in terms of matrix and scalar mean square error. Moreover, the performance of the proposed estimator is examined through a simulation study. Finally, on a real dataset, the superiority of the proposed estimator over other estimators is demonstrated.