1.
Select Help > Sample Data Library and open VA Lung Cancer.jmp.
Log(:Time) - (b0 + b1 * Age + b2 * Diag Time)
2.
Select Analyze > Specialized Modeling > Nonlinear.
3.
Select Model and click X, Predictor Formula.
4.
5.
Figure 13.16 Initial Parameter Values in the Nonlinear Fit Control Panel
6.
Click Save Estimates.
The Weibull column contains the Weibull formula, explained in Weibull Loss Function.
7.
Select Analyze > Specialized Modeling >  Nonlinear again.
8.
Select Model and click X, Predictor Formula.
9.
Select Weibull loss and click Loss.
10.
The Nonlinear Fit Control Panel on the left in Figure 13.17 appears. There is now the additional parameter called sigma in the loss function. Because it is in the denominator of a fraction, a starting value of 1 is reasonable for sigma. When using any loss function other than the default, the Loss is Neg LogLikelihood box on the Control Panel is checked by default.
11.
Figure 13.17 Nonlinear Model with Custom Loss Function
12.
(Optional) Click Confidence Limits to show lower and upper 95% confidence limits for the parameters in the Solution table.
Figure 13.18 Solution Report

Help created on 7/12/2018