part of
linear regression for analysis of continuous dependent variable
model parameter estimation
iteratively reweighted least squares estimation
Camille Maumet
Orlaith Burke
Alejandra Gonzalez-Beltran
Philippe Rocca-Serra
Tom Nichols
Tom Nichols
the iteratively reweighted least squares estimation is a model parameter estimation which is a practical implementation of Weighted Least Squares, where the heterogeneous variances of the errors are estimated from the residuals of the regression model, providing an estimate for the weights. Each successive estimate of the weights improves the estimation of the regression parameters, which in turn are used to compute residuals and update the weights
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