Author: Jared Huling
Date: 2026-05-04

# Negative-Binomial, Hurdle, Zero-Inflation, and Firth Logistic Regression with ‘fastglm’

#### Jared Huling

#### 2026-05-04

Beyond `family`-driven GLMs, fastglm has fitting functions for four model types/situations that arise often in practice but require model-specific machinery on top of the standard IRLS solver:

- `fastglm_nb()` — negative-binomial regression with the dispersion `theta` estimated jointly with the regression coefficients, in the spirit of `MASS::glm.nb()`.
- `firth = TRUE` — Firth’s (1993) bias-reducing penalty for logistic regression, useful under separation or in small samples (the `logistf::logistf()` use case).
- `fastglm_hurdle()` — a two-part count model with a binary zero / non-zero component and a zero-truncated Poisson or NB count component, the same model as `pscl::hurdle()`.
- `fastglm_zi()` — a zero-inflated Poisson or NB regression, with a binary inflation component layered on the original (untruncated) count distribution, the same model as `pscl::zeroinfl()`.

All four reuse the same C++ IRLS solver as `fastglm()` itself; the outer iteration (joint NB MLE, the EM loop in zero-inflation, the inner theta-Brent for unknown-`theta` NB hurdle / ZI) likewise lives in C++. Cameron and Trivedi (1998) is the standard textbook reference for the count-data theory underlying this vignette, and Zeileis, Kleiber, and Jackman (2008) gives the pscl implementation we benchmark against.

    library(fastglm)
    suppressPackageStartupMessages({
        library(MASS)        # glm.nb, rnegbin, sex2-style separation data
        library(pscl)        # hurdle, zeroinfl, bioChemists
        library(logistf)     # canonical Firth implementation
        library(microbenchmark)
    })

# Negative-binomial regression

`fastglm_nb()` is a drop-in alternative to `MASS::glm.nb()` (Venables and Ripley, 2002) for the NB2 model with `Var(Y) = mu + mu^2 / theta`. Both `theta` and `beta` are estimated by maximum likelihood, alternating an IRLS update for `beta` at fixed `theta` with a 1-D Brent root-find for `theta` at fixed `beta`. Both loops run in C++.

A small-sample comparison on `MASS::quine` (school absences):

    data(quine)
    X <- model.matrix(~ Eth + Sex + Age + Lrn, data = quine)
    y <- quine$Days

    fit_f <- fastglm_nb(X, y)
    fit_m <- MASS::glm.nb(Days ~ Eth + Sex + Age + Lrn, data = quine)

    c(theta_fastglm = fit_f$theta, theta_glm.nb = fit_m$theta)
    #> theta_fastglm  theta_glm.nb
    #>      1.274893      1.274893

    max(abs(unname(coef(fit_f)) - unname(coef(fit_m))))
    #> [1] 3.004626e-08
    abs(as.numeric(logLik(fit_f)) - as.numeric(logLik(fit_m)))
    #> [1] 0

Coefficients and `theta` agree to roughly 1e-8 on the same MLE.

A timing comparison, on a moderately sized simulated NB(`theta = 2`) example:

    set.seed(1)
    n  <- 5e4
    X  <- cbind(1, matrix(rnorm(n * 3), n, 3))
    mu <- exp(X %*% c(0.5, 0.4, -0.2, 0.3))
    y  <- MASS::rnegbin(n, mu = mu, theta = 2)
    df <- data.frame(y = y, x1 = X[, 2], x2 = X[, 3], x3 = X[, 4])

    mb_nb <- microbenchmark(
        fastglm_nb = fastglm_nb(X, y),
        glm.nb     = MASS::glm.nb(y ~ x1 + x2 + x3, data = df),
        times = 5L
    )
    print(mb_nb)
    #> Unit: milliseconds
    #>        expr       min        lq      mean    median        uq       max neval
    #>  fastglm_nb  27.27906  27.54245  28.20274  28.64723  28.66466  28.88032     5
    #>      glm.nb 257.68812 300.93619 294.54855 303.13879 304.43976 306.53990     5
    #>  cld
    #>   a
    #>    b

The native NB family kernel is also exposed directly through `negbin(theta, link)` for the case when `theta` is known (or estimated separately). Holding `theta` fixed at the joint MLE recovers the `fastglm_nb()` regression coefficients exactly, since `fastglm_nb()` is just IRLS at the converged `theta`:

    fit_joint <- fastglm_nb(X, y)
    fit_known <- fastglm(X, y, family = negbin(theta = fit_joint$theta, link = "log"))
    max(abs(unname(coef(fit_known)) - unname(coef(fit_joint))))
    #> [1] 1.624203e-07

# Firth bias-reduced logistic regression

Logistic regression breaks down under (quasi-) separation: the MLE is at infinity and the Wald standard errors blow up. Firth (1993) modifies the score by `(1/2) ∂ log|I(beta)| / ∂beta`, which both removes the leading `O(1/n)` bias and produces finite estimates under separation. fastglm exposes the penalty as a flag,

    fastglm(x, y, family = binomial(), firth = TRUE)

For binomial logit the penalty collapses to a per-iteration adjustment of the working response by `h_i (0.5 - mu_i) / (mu_i (1 - mu_i))` where `h_i` is the leverage; no new family code is needed, and the cost per IRLS iteration is one extra streaming pass for the leverages.

The canonical demonstration uses the `sex2` dataset shipped with logistf (Heinze and Schemper, 2002):

    data(sex2, package = "logistf")
    X <- model.matrix(~ age + oc + vic + vicl + vis + dia, data = sex2)
    y <- sex2$case

    fit_f <- fastglm(X, y, family = binomial(), firth = TRUE)
    fit_l <- logistf(case ~ age + oc + vic + vicl + vis + dia, data = sex2)

    cbind(fastglm = unname(coef(fit_f)), logistf = unname(coef(fit_l)))
    #>          fastglm     logistf
    #> [1,]  0.12025405  0.12025405
    #> [2,] -1.10598133 -1.10598131
    #> [3,] -0.06881673 -0.06881673
    #> [4,]  2.26887465  2.26887464
    #> [5,] -2.11140819 -2.11140817
    #> [6,] -0.78831695 -0.78831694
    #> [7,]  3.09601183  3.09601166
    max(abs(unname(coef(fit_f)) - unname(coef(fit_l))))
    #> [1] 1.67938e-07

The two implementations land on the same penalized MLE to about 2e-7. The difference in runtime is substantial because fastglm’s Firth-fitting code leverages our existing C++ solver:

    mb_firth <- microbenchmark(
        fastglm = fastglm(X, y, family = binomial(), firth = TRUE),
        logistf = logistf(case ~ age + oc + vic + vicl + vis + dia, data = sex2),
        times = 10L
    )
    print(mb_firth)
    #> Unit: microseconds
    #>     expr      min       lq      mean    median       uq      max neval cld
    #>  fastglm  181.753  195.283  214.3357  211.2935  225.951  282.408    10  a
    #>  logistf 6785.336 6794.684 6853.8183 6863.2565 6894.519 6922.932    10   b

`firth = TRUE` is currently restricted to `family = binomial(link = "logit")` on a dense matrix `x`; probit / cloglog use a different score correction and will be added separately.

# Hurdle models

Hurdle models, introduced by Mullahy (1986), factorize a count distribution into two independent pieces:

- a binary regression for `1(y > 0)` over the full sample (the zero part);
- a zero-truncated Poisson or NB regression for `y > 0` over the positive subset (the count part).

Because the two parts share no parameters, the joint likelihood factorizes and they can be fit independently. fastglm’s C++ driver fits both parts using the same IRLS solver as `fastglm()`, with new `FAM_POIS_TRUNC_*` / `FAM_NB_TRUNC_*` family codes that handle the truncation correction stably (`expm1`, `log1p` near `mu = 0`).

The formula uses the Formula package convention `y ~ x1 + x2 | z1 + z2`; the right-hand side after `|` specifies the zero-part design (it defaults to the count-part design if absent).

    data(bioChemists, package = "pscl")
    fit_f <- fastglm_hurdle(art ~ ., data = bioChemists, dist = "poisson")
    fit_p <- pscl::hurdle (art ~ ., data = bioChemists, dist = "poisson")

    max(abs(unname(coef(fit_f, "count")) - unname(fit_p$coefficients$count)))
    #> [1] 3.144497e-07
    max(abs(unname(coef(fit_f, "zero"))  - unname(fit_p$coefficients$zero)))
    #> [1] 1.27043e-10
    abs(as.numeric(logLik(fit_f)) - as.numeric(logLik(fit_p)))
    #> [1] 1.07093e-10

`coef()` and `vcov()` accept a `model = c("full", "count", "zero")` argument so each part can be inspected separately:

    coef(fit_f, model = "count")
    #> (Intercept)    femWomen  marMarried        kid5         phd        ment
    #>  0.67113934 -0.22858262  0.09648498 -0.14218724 -0.01272657  0.01874550
    coef(fit_f, model = "zero")
    #> (Intercept)    femWomen  marMarried        kid5         phd        ment
    #>  0.23679601 -0.25115113  0.32623358 -0.28524872  0.02221940  0.08012135

For NB count parts, the dispersion is estimated by an inner Brent MLE that runs between outer IRLS iterations; the outer-loop tolerance is controlled by `outer.tol` / `outer.maxit`.

A timing comparison on a 4000-observation simulated example:

    set.seed(11)
    n  <- 4000
    x1 <- rnorm(n);  x2 <- rnorm(n)
    lam    <- exp(0.7 + 0.4 * x1 - 0.3 * x2)
    is_pos <- rbinom(n, 1, plogis(-0.4 + 0.5 * x1 + 0.2 * x2))
    yt     <- integer(n)
    for (i in seq_len(n)) {
        repeat { v <- rpois(1, lam[i]); if (v > 0) { yt[i] <- v; break } }
    }
    y  <- ifelse(is_pos == 1, yt, 0L)
    df <- data.frame(y = y, x1 = x1, x2 = x2)

    mb_hurdle <- microbenchmark(
        fastglm_hurdle = fastglm_hurdle(y ~ x1 + x2, data = df, dist = "poisson"),
        pscl_hurdle    = pscl::hurdle (y ~ x1 + x2, data = df, dist = "poisson"),
        times = 5L
    )
    print(mb_hurdle)
    #> Unit: milliseconds
    #>            expr       min        lq      mean    median        uq       max
    #>  fastglm_hurdle  1.187319  1.191624  1.285629  1.234223  1.390966  1.424012
    #>     pscl_hurdle 15.933543 16.948949 16.986948 17.167397 17.327912 17.556938
    #>  neval cld
    #>      5  a
    #>      5   b

# Zero-inflated models

Zero inflation, introduced by Lambert (1992), differs from a hurdle in that the two components share a latent variable: a `y = 0` outcome could come from the inflation component (with probability `pi_i`) or from the count component (with probability `1 - pi_i` and a count-side zero). The likelihood for `y = 0` is

\[ \Pr(Y_i = 0) = \pi_i + (1 - \pi_i) f(0; \mu_i) \]

and for `y > 0` it is `(1 - pi_i) f(y; mu_i)`. The two-component mixture rules out a closed-form factorization, so fastglm uses an EM algorithm:

- E-step: posterior `tau_i = P(Z_i = 1 | y_i)` for each observation, computed in log-space with `logsumexp` to avoid catastrophic cancellation when `pi_i` is near 0 or 1.
- M-step: a binomial logit / probit / cloglog / log fit with response `tau` (continuous), weights 1; followed by a Poisson or NB fit on the original `y` with prior weights `1 - tau`. For NB, an inner Brent MLE re-estimates `theta` after each count-side step.

The final observed-information `vcov` comes from a numerical Jacobian of the analytical observed score at the EM fixed point, which is stable and cheap (block-diagonal per `(gamma, beta, theta)`). The complete EM driver — E-step, both M-steps, the inner theta MLE, and the score Jacobian — runs in C++.

The formula syntax matches `fastglm_hurdle()` exactly:

    fit_f <- fastglm_zi(art ~ ., data = bioChemists, dist = "poisson",
                        em.tol = 1e-10, em.maxit = 300L)
    fit_p <- pscl::zeroinfl(art ~ ., data = bioChemists, dist = "poisson")

    max(abs(unname(coef(fit_f, "count")) - unname(fit_p$coefficients$count)))
    #> [1] 2.019915e-05
    max(abs(unname(coef(fit_f, "zero"))  - unname(fit_p$coefficients$zero)))
    #> [1] 4.132504e-05
    abs(as.numeric(logLik(fit_f)) - as.numeric(logLik(fit_p)))
    #> [1] 3.170896e-07

EM is iterative, so the agreement is slightly looser than for hurdle (where the two parts are closed-form independent fits), but coefficients and the joint log-likelihood still match to about 1e-5.

A timing comparison on a simulated zero-inflated Poisson:

    set.seed(21)
    n  <- 3000
    x1 <- rnorm(n);  x2 <- rnorm(n)
    eta_c <- 0.7 + 0.4 * x1 - 0.3 * x2
    eta_z <- -0.4 + 0.5 * x1 + 0.2 * x2
    z     <- rbinom(n, 1, plogis(eta_z))
    y     <- ifelse(z == 1, 0L, rpois(n, exp(eta_c)))
    df    <- data.frame(y = y, x1 = x1, x2 = x2)

    mb_zi <- microbenchmark(
        fastglm_zi = fastglm_zi(y ~ x1 + x2, data = df, dist = "poisson"),
        pscl_zi    = pscl::zeroinfl(y ~ x1 + x2, data = df, dist = "poisson"),
        times = 5L
    )
    print(mb_zi)
    #> Unit: milliseconds
    #>        expr       min        lq      mean    median        uq      max neval
    #>  fastglm_zi  9.547096  9.674073  9.760296  9.742502  9.753695 10.08411     5
    #>     pscl_zi 25.020619 25.383756 26.361393 26.381737 27.159507 27.86135     5
    #>  cld
    #>   a
    #>    b

# References

- Firth, D. (1993). Bias reduction of maximum likelihood estimates. Biometrika, 80(1), 27–38. doi:10.1093/biomet/80.1.27

- Heinze, G. and Schemper, M. (2002). A solution to the problem of separation in logistic regression. Statistics in Medicine, 21(16), 2409–2419. doi:10.1002/sim.1047

- Cameron, A. C. and Trivedi, P. K. (1998). Regression Analysis of Count Data. Cambridge University Press.

- Mullahy, J. (1986). Specification and testing of some modified count data models. Journal of Econometrics, 33(3), 341–365. doi:10.1016/0304-4076(86)90002-3

- Lambert, D. (1992). Zero-inflated Poisson regression, with an application to defects in manufacturing. Technometrics, 34(1), 1–14. doi:10.2307/1269547

- Zeileis, A., Kleiber, C., and Jackman, S. (2008). Regression models for count data in R. Journal of Statistical Software, 27(8), 1–25. doi:10.18637/jss.v027.i08

- Venables, W. N. and Ripley, B. D. (2002). Modern Applied Statistics with S (4th ed.). Springer.