Iteratively Reweighted Least Squares for Models with a Linear Part

W. Douglas Stirling

Journal of the Royal Statistical Society Series C, 1984, vol. 33, issue 1, 7-17

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.

Date: 1984
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