Dear all,
When doing nonlinear regression, we normally use nls if e are iid normal.
i learned that if the form of the variance of e is not completely known,
we can use the IRWLS (Iteratively Reweighted Least Squares )
algorithm:
for example, var e*i =*g0+g1*x*1
1. Start with *w**i = *1
2. Use least squares to estimate b.
3. Use the residuals to estimate g, perhaps by regressing e^2 on *x*.
4. Recompute the weights and goto 2.
Continue until convergence
i was wondering whether there is a instruction of R to do this?
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