A System of Subroutines For Iteratively Reweighted Least Squares Computations

David Coleman, Paul W. Holland, Neil Kaden and Virginia Klema

No 189, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: A description of a system of subroutines to compute solutions to the iteratively reweighted least squares problem is presented. The weights are determined from the data and linear fit and are computed as functions of the scaled residuals. Iteratively reweighted least squares is a part of robust statistics where "robustness" means relative insensitivity to moderate departures from assumptions. The software for iteratively reweighted least squares is cast as semi-portable Fortran code whose performance is unaffected (in the sense that performance will not be degraded) by the computer or operating-system environment in which it is used. An [ell sub1] start and an [ell sub2] start are provided. Eight weight functions, a numerical rank determination, convergence criterion, and a stem-and-leaf display are included.

Date: 1977-07
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Citations: View citations in EconPapers (2)

Published as Coleman, David, Paul Holland, Neil Kaden, Virginia Klema, and Stephen C. Peters. "A System of Subroutines for Iteratively Reweighted Least Squares Computations." ACM Transactions on Mathematical Software 6, 3 (September 1980): 327-336.

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