search for: irwls

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2009 Jul 01
1
Iteratively Reweighted Least Squares of nonlinear regression
Dear all, When doing nonlinear regression, we normally use nls if e are iid normal. i learned that if the form of the variance of e is not completely known, we can use the IRWLS (Iteratively Reweighted Least Squares ) algorithm: for example, var e*i =*g0+g1*x*1 1. Start with *w**i = *1 2. Use least squares to estimate b. 3. Use the residuals to estimate g, perhaps by regressing e^2 on *x*. 4. Recompute the weights and goto 2. Continue until convergence i was wonder...
2009 Mar 12
1
zooreg and lmrob problem (bug?)
...ficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 630.2021 38.5583 16.344 <2e-16 *** seq(58) -0.9366 1.1639 -0.805 0.424 --- Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 Robust residual standard error: 147.3 Convergence in 8 IRWLS iterations Robustness weights: 4 weights are ~= 1. The remaining 54 ones are summarized as Min. 1st Qu. Median Mean 3rd Qu. Max. 0.5522 0.8858 0.9537 0.9212 0.9831 0.9990 Algorithmic parameters: tuning.chi bb tuning.psi refine.tol rel.tol 1.5476400 0.5000000 4.6...