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Kindly explain me how to estimate poisson regression model using iterative weighted least square method. I know it can be easily estimated in any software like Stata, SAS, SPSS etc but I want to estimate it manually. I am unable to understand the weight matrix (W) in the following iterative estimation equation: $$ b =(X^\mathrm{T}WX)^{-1}X^\mathrm{T}Wz $$

kjetil b halvorsen
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Taimoor
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    Note $X^\mathrm{T}$ means the transpose of the matrix $X$, but $XT$ means the product of matrices $X$ & $T$. (I've fixed it.) Also, though the equation's fairly standard, it would be helpful to define the symbols. – Scortchi - Reinstate Monica Apr 09 '14 at 11:42
  • Look at https://stats.stackexchange.com/questions/236676/can-you-give-a-simple-intuitive-explanation-of-irls-method-to-find-the-mle-of-a – kjetil b halvorsen May 24 '17 at 12:56

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