A Note on Computing Robust Regression Estimates via Iteratively Reweighted Least Squares
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The 1985 SAS Users Guide: Statistics provides a method for computing robust regression estimates using iterative reweighted least squares and the nonlinear regression procedure NLIN. We show that the estimates are asymptotically correct, although the resulting standard errrors are not. We also discuss computation of the estimates. 1988 Taylor & Francis Group, LLC.