A System of Subroutines For Iteratively Reweighted Least Squares Computations / David E. Coleman, Paul W. Holland, Neil Kaden, Virginia Klema.

By:

Coleman, David E

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0189.Publication details: Cambridge, Mass. National Bureau of Economic Research 1977.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: A description of a system of subroutines to compute solutions to the iteratively reweighted least squares problem is presented. The weights are determined from the data and linear fit and are computed as functions of the scaled residuals. Iteratively reweighted least squares is a part of robust statistics where "robustness" means relative insensitivity to moderate departures from assumptions. The software for iteratively reweighted least squares is cast as semi-portable Fortran code whose performance is unaffected (in the sense that performance will not be degraded) by the computer or operating-system environment in which it is used. An [ell sub1] start and an [ell sub2] start are provided. Eight weight functions, a numerical rank determination, convergence criterion, and a stem-and-leaf display are included.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0189 (Browse shelf(Opens below))	Not For Loan

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July 1977.

A description of a system of subroutines to compute solutions to the iteratively reweighted least squares problem is presented. The weights are determined from the data and linear fit and are computed as functions of the scaled residuals. Iteratively reweighted least squares is a part of robust statistics where "robustness" means relative insensitivity to moderate departures from assumptions. The software for iteratively reweighted least squares is cast as semi-portable Fortran code whose performance is unaffected (in the sense that performance will not be degraded) by the computer or operating-system environment in which it is used. An [ell sub1] start and an [ell sub2] start are provided. Eight weight functions, a numerical rank determination, convergence criterion, and a stem-and-leaf display are included.