A Method of Iteratively Reweighted Least Square and Its Application

The robust regression is obtained by using the method called the iteratively reweighted least squares (IRWLS). The comparison between robust regression and least squares (LS) regression is also made. The results point out that the procedure may lead to gradual reduction and convergence of the sum of absolute residuals. This procedure is also used to forecast the rainfall over the middle and lower reaches of the Changjiang River. The tests on dependent and independent sample data prove that the IRWLS is better than the LS