Some convergence properties of iterated reweighted least squares in the location model
- 1 January 1980
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 9 (4) , 359-369
- https://doi.org/10.1080/03610918008812162
Abstract
The concept of the M-estimator applied to the location model has been studied extensively under a variety of departures from the classical location model. One commonly used computational technique for obtaining the M-estimate is the iterated reweighted least squares algorithm. The convergence properties of this method will be discussed and compared to the well known Newton's method. Some of the properties of both methods will be illustrated in a simple example.Keywords
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