[R] Algorithm used by glm, family=binomial?

[Prof Brian D Ripley]

On Mon, 19 Apr 1999, Barnet Wagman wrote:

> Does anyone know what algorithm R uses in glm, family=binomial (i.e. a
> logit model)?
> 
> I assume that it's in the source somewhere, but I wasn't able to find
> it.  I'd like to know
> what file it's in (in a unix distribution of R).

src/library/base/R/glm.R, or just list the glm and glm.fit functions.
The `meat' is in glm.fit.

R uses the `standard' Nelder-Wedderburn IWLS algorithm for this problem.
That is explained in a number of places.  One Bill Venables and I
particularly like is

Firth, D. (1991) Generalized linear models. Chapter 3 of Hinkley, D. V.,
Reid, N. and Snell, E. J. eds (1991) Statistical Theory and Modelling. In
Honour of Sir David Cox, FRS. London: Chapman & Hall.

Perhaps the most elementary exposition is in

A. J. Dobson (1990) "An Introduction to Generalized Linear Models"
Chapham & Hall.

which was previously

A. J. Dobson (1983) "An Introduction to Statistical Modelling".
  
It is a useful exercise (one I set our graduate students) to write out the
details in the logistic regression case, where some terms cancel.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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