A generalized linear model (GLM) is a regression model of the form
In the following we describe how to use the
quantlib for estimating generalized partial linear models.
quantlib is highly related to the
quantlib for GLM in
Names of routines and the functionality in both quantlibs correspond to each
other. It is recommended to start reading with the
GLM tutorial (Härdle, Klinke, and Müller; 2000, Chapter 7).
Parts of the features which are also available in GLM are not explained
in detail here.