[R] IWLS vs direct ML estimation

sandsky realstone at hotmail.com
Mon Nov 3 23:49:55 CET 2008


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
ii) if not or the glm approach is better, why we use the glm approach to
find the indirect MLE?

What do you think?

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