Paper 3, Section I, J

Statistical Modelling | Part II, 2017

For Fisher's method of Iteratively Reweighted Least-Squares and Newton-Raphson optimisation of the log-likelihood, the vector of parameters β\beta is updated using an iteration

β(m+1)=β(m)+M(β(m))1U(β(m)),\beta^{(m+1)}=\beta^{(m)}+M\left(\beta^{(m)}\right)^{-1} U\left(\beta^{(m)}\right),

for a specific function MM. How is MM defined in each method?

Prove that they are identical in a Generalised Linear Model with the canonical link function.

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