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Use this tag for any *on-topic* question that (a) involves `R` either as a critical part of the question or expected answer, & (b) is not *just* about how to use `R`.
3
votes
Accepted
Iteratively Reweighted Least Squares, (Logistic Regression)
I just found that inside the algorithm in the "matrix form" the variable it's equal to Wdiag = deriv2(eta) so in this case this variable stays always the same.
So we have to change it to Wdiag = deri …
3
votes
0
answers
818
views
Obtaining from scratch the volatility in GARCH model using R?
I'm trying to obtain the same vector of volatility by myself $\sqrt{h_{t|t-1}}$ of a Garch Model, that I obtained "automatically" using the function "ugarchfit" from the package "rugarch".
So after …
4
votes
1
answer
5k
views
Iteratively Reweighted Least Squares, (Logistic Regression)
I'm trying to obtain the parameters estimates in a Logistic Regression using the IRLS (Iteratively Reweighted Least Squares) algorithm.
I'm following this great and simple reference slides: (Logistic …