is part of
linear regression for analysis of continuous dependent variable
model parameter estimation
weighted least squares estimation
WLS estimation
Alejandra Gonzalez-Beltran
Camille Maumet
Orlaith Burke
Philippe Rocca-Serra
Tom Nichols
http://en.wikipedia.org/wiki/Least_squares#Weighted_least_squares and Tom Nichols
https://stat.ethz.ch/R-manual/R-patched/library/stats/html/lm.html
the weighted least squares estimation is a model parameter estimation for a linear regression model with errors that independent but have heterogeneous variance. Difficult to use use in practice, as weights must be set based on the variance which is usually unknown. If true variance is known, it is the Best Linear Unbiased Estimation (BLUE) method under these assumptions, Uniformly Minimum-Variance Unbiased Estimator (UMVUE) with addition of a Gaussian assumption.
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