Weighted Least Squares

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August 31, 2024 4 min read Definitions
Weighted Least Squares Estimator: Optimized Estimation in the Presence of Heteroscedasticity
Mathematics Statistics Weighted Least Squares Estimator Heteroscedasticity Statistics Regression Analysis
Weighted Least Squares (WLS) Estimator is a powerful statistical method used when the covariance matrix of the errors is diagonal. It minimizes the sum of squares of residuals weighted by the inverse of the variance of each observation, giving more weight to more reliable observations.
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