sandsky <[EMAIL PROTECTED]> wrote: > I am thinking about IWLS vs ML estimation. When I use glm() for a > 2-parameter distribution (e.g., Weibull), I can otain the MLE of scale > parameter given shape parameter through IWLS. Because this scale parameter > usually converges to the MLE. > > In this point, I am wondering: > i) can you say that the direct MLE, which is obtained by maximizing a > likelihood function, is equalvant to the indirect MLE, which is obtained by > IWLS? > ii) if not or the glm approach is better, why we use the glm approach to > find the indirect MLE?
You may want to read the following paper: Bradley, E. L. 1973. The equivalence of maximum likelihood and weighted least squares estimates in the exponential family. J. Am. Stat. Assn. 68: 199. -- Mike Prager, NOAA, Beaufort, NC * Opinions expressed are personal and not represented otherwise. * Any use of tradenames does not constitute a NOAA endorsement. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
