# What is the difference between Weighted Least Square and Generalized Least Square?

Weighted least square seems to be a special case of Generalized Least Square. If we have generalized least square technique why do we need to apply weighted least square? or do we call them interchangeably?

• well, weighted least squares is much simpler to implement ... – kjetil b halvorsen Mar 10 '17 at 13:21
• So what's the difference? – SmallChess Mar 10 '17 at 14:19
• Both generalized and weighted LS weights using a matrix of weights $W$. For generalized LS this is a general (symmetric) matrix, for weighted LS it is diagonal. – kjetil b halvorsen Oct 12 '17 at 2:38