Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It only takes a minute to sign up.
Sign up to join this community
If we have the estimator $(X^{T}WX)^{-1}X^{T}Wy$ where the diagonal of W contains the inverted weights, what is the fastest/most efficient way to solve it?
I know with OLS, the estimator is typically solved using QR decomposition, but does this method work just as well with WLS?
If $W$ is diagonal as you say, then there should be a simple matter to scale each observation (both regressors and response) with $w_{ii}^{1/2}$ and then use the regular QR decomposition.
