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Iteratively Reweighted Least Squares for Models with a Linear Part

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  • W. Douglas Stirling

Abstract

Nelder and Wedderburn's method for maximum likelihood estimation of the parameters in an exponential family of regression models is extended to a more general type of model. Examples are given of the method's use for censored and grouped data, models involving the negative binomial or beta‐binomial distributions and in robust estimation. In a numerical example the algorithm converges considerably faster than the EM algorithm.

Suggested Citation

  • W. Douglas Stirling, 1984. "Iteratively Reweighted Least Squares for Models with a Linear Part," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(1), pages 7-17, March.
    • Handle: RePEc:bla:jorssc:v:33:y:1984:i:1:p:7-17
    DOI: 10.2307/2347657
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    Cited by:

    1. Hamasaki, Toshimitsu & Kim, Seo Young, 2007. "Box and Cox power-transformation to confined and censored nonnormal responses in regression," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3788-3799, May.

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