Influence Functions of Iteratively Reweighted Least Squares Estimators
迭代重加权最小二乘估计量的影响函数
The iteratively reweighted least squares algorithm is routinely employed to evaluate robust regression estimates. The importance of beginning the algorithm with a robust estimator of the unknown parameters is often stressed. The precise influence of the initial estimator on subsequent iterates or the limit of such estimators, however, does not seem to have been calculated previously. Because robust regression involves the downweighting of specific points having large…