O. Street, James et al., A Note on Computing Robust Regression Estimates via Iteratively Reweighted Least Squares, American statistician , 42(2), 1988, pp. 152-154
The 1985 SAS User's Guide: Statistics provides a method for computing robust regression estimates using iterative reweighted least squares and the nonlinear regression procedure NLIN.We show that the estimates are asymptotically correct, although the resulting standard errrors are not.We also discuss computation of the estimates.