Re: [R] IWLS vs direct ML estimation

From: Mike Prager <mike.prager_at_noaa.gov>
Date: Tue, 04 Nov 2008 11:07:50 -0500

sandsky <realstone_at_hotmail.com> 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.

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Received on Tue 04 Nov 2008 - 16:10:29 GMT

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