Statistical Analysis Stack Exchange
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Questions tagged [irls]

IRLS stands for Iteratively Re-weighted Least Squares. IRLS is a commonly used method to find maximum likelihood estimates when they cannot be found analytically.

IRLS stands for Iteratively Re-weighted Least Squares. IRLS is a commonly used method to find maximum likelihood estimates when they cannot be found analytically.

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Initialization of weights in IRLS (Iteratively reweighted least squares)

How to initialize weights in IRLS? On the wikipedia page about IRLS it is stated that: $W^{(t)}$ is the diagonal matrix of weights, usually with all elements set initially to: $w^{(0)}_i = 1$ but without any direct reference to the source of this…
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