I have a dataset with known errors in both the X and Y and want to perform a simple linear regression. From reading other posts, it seems I want to TLS over OLS due to the presence of error in both variables. However, the error is no constant, so I also want to weight measurements.
It seems that weighting with the inverse of the variance is common in weighted OLS. Could I weight with the inverse of the sum of X and Y variance for my TLS regression?