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Weighted least squares

Weighted least squares minimizes

\sum_{i} w_{i} (Y_{i} - X_{i}^{T} β)^{2}

; inverse-variance weights give the efficient estimator under known heteroscedasticity.

Table of contents 47 2
- Generalized least squares Weighted least squares 32 1
  - Whitening transformation Generalized least squares 20

 Ancestors (6)