Weighted Least Squares Regression. 1 Weighted Least Squares Instead of minimizing the residual sum of squares RSS Xn i1 y i x i 2 1 we could minimize the weighted sum of squares WSS w Xn i1 w iy i x i 2 2 This includes ordinary least squares as the special case where all the weights w i 1. Weighted least squares estimates of the coefficients will usually be nearly the same as the ordinary.
1 Weighted Least Squares Instead of minimizing the residual sum of squares RSS Xn i1 y i x i 2 1 we could minimize the weighted sum of squares WSS w Xn i1 w iy i x i 2 2 This includes ordinary least squares as the special case where all the weights w i 1. Nonrobust coef std err t Pt 0025 0975 -----. The difficulty in practice is determining estimates of the error variances or standard deviations.
Another of my students favorite terms and commonly featured during Data Science Hangman or other happy hour festivities is heteroskedasticity.
For the weights we use w i 1 σ i 2 for i 1 2 in Minitab use Calc. Sun 20 Dec 2020 Prob F-statistic. If a weighted least squares regression. The wls0 command can be used to compute various WLS solutions.
