Are “feasible generalized least squares” and “iteratively reweighted least squares” the same thing?

Question

These two techniqies seem closely related:

• Iteratively reweighted least squares (IRLS)
• Feasible generalized least squares (FGLS)

Are the mathematics the same, just different communities (math or stats), like in Tikhonov regularization or ridge regression?

Or is there a difference, e.g., that IRLS neglects correlations (after weighted least squares) while FGLS does not (after generalized least squares)?

Answer 1

No, IRLS is a strategy for solving more general p-norm minimization problems by means of a sequence of related 2-norm (least squares) problems.

FGLS may be specialized for a diagonal covariance matrix in Feasible Weighted Least Squares (FWLS).