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Iteratively Reweighted Least Squares - Encyclopedia Entry.
Technical summary rept.,
WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER
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Iteratively Reweighted least Squares IRLS is a computationally attractive method for providing estimated regression coefficient that are relatively unaffected by extreme observations. Definitions and statistical justifications are reviewed, and a numerical example and a multivariate extension are included. This article is to be an entry in The Encyclopedia of Statistical Sciences. Author
APPROVED FOR PUBLIC RELEASE