Some explanations about the IWLS algorithm to fit generalized linear models

Christophe Dutang (1)

1 LMM - Laboratoire Manceau de Mathématiques

This short note focuses on the estimation procedure, an iterative weighted least square method, generally used for generalized linear models.

Mots clés: Generalized Linear Models; Estimation; Algorithm

Domaines: Applications [stat.AP]; Calcul [stat.CO]; Statistiques [math.ST]; Finance quantitative [q-fin.CP]

Christophe Dutang. Some explanations about the IWLS algorithm to fit generalized linear models. 2017. ⟨hal-01577698⟩