Weighted Linear Least Squares
See also: Least squares#Weighted least squares See also: Weighted meanIn some cases the observations may be weighted—for example, they may not be equally reliable. In this case, one can minimize the weighted sum of squares:
where wi > 0 is the weight of the ith observation, and W is the diagonal matrix of such weights.
The weights should, ideally, be equal to the reciprocal of the variance of the measurement. The normal equations are then:
This method is used in iteratively reweighted least squares.
Read more about this topic: Linear Least Squares (mathematics)
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