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jinsik
2008 Nov 03
1
IWLS vs direct ML estimation
Hi,
I am thinking about IWLS vs ML estimation. When I use glm() for a
2-parameter distribution (e.g., Weibull), I can otain the MLE of scale
parameter given shape parameter through IWLS. Because this scale parameter
usually converges to the MLE.
In this point, I am wondering:
i) can you say that the direct MLE, which is obtained by maximizing a
likelihood function, is equalvant to the indirect