# Questions tagged [weighted-regression]

Weighted least squares regression is a generalization of OLS regression used when different data points have different importance, or "weights". See also [weighted-data].

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### R package for inverse-variance weighting? [closed]

Can you recommend an R package for doing inverse-variance weighting? Yes, I could program the pointwise estimates again. And I could think about estimating the new variance of the combination, and ...
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### Seeking authoritative references on weighted ANOVA

I would be grateful for any reference, such as a textbook or peer-reviewed journal article (of any vintage), that contains explicit formulas for conducting a weighted ANOVA with arbitrary weights. ...
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### Statsmodels heteroskedasticity test: consider weight of data next to difference in variance

For a current project, I have generated a number of data points that show a clear triangular pattern: When trying to quantify this pattern through a Statsmodels Breusch-Pagan test, the data however ...
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### Improve Adaboost that using weighted logistic regression instead of decision trees

I implemented Adaboost that using weighted logistic regression instead of decision trees and I managed to get to 0.5% error, I'm trying to improve it for days with no success and I know it possible to ...
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### t-test to compare weighted means

I have an unbalanced panel of paired differences. That is, my panel consists of 100 firm time series of paired differences with varying length. I have tested wether the unweighted mean is different ...
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### Why is importance-weighted empirical risk minimization finite-sample biased?

Classical risk minimization (RM) minimizes the expected loss over the training distribution $p_{\mathrm{train}}(x)$, $$\theta^*_{RM} = \arg \min_\theta E[\ell(x, \theta)]_{p_{\text{train}}}.$$ As the ...
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### Estimation of measurement reliability

I have the following statistical setting: I have two unknowns $a$ and $b$ an I have two measurements of their values corrupted by noise distibuted uniformly in $[-e,e]$ and I have exact value of $e$ ...
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### Conditional logit (fixed effects logit) regression for propensity score estimation

Is using clogit problematic in estimating propensity scores (e.g., for weighted OLS regressions)? I have an individual-year panel data and a treatment that occurs every year for some of the ...
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### Extending external validation diagnostics to experiments with continuous treatment

Does the external validation diagnostic methods discussed in Stuart et al. (2011) (i.e., inverse propensity score weighted regressions) also apply to the experimental setting in which the treatment is ...
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### Compound Independent Probability of Random Events

I'm trying to write a solver for random data and I hit a bit of a statistics brick wall, I wonder if someone might be able to shed some light. If we consider a bag of 10 balls, each one is unique and ...
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### In a weighted least squares regression, can we use the weight as a control variable?

I have found Weighted Least Squares with Endogenous Weights but the answers primarily tackle the question of when $w_i$ correlates with $\epsilon_i$. I would like to ask if we use $w_i$ as a control ...
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### Algorithm to estimate aggregated outcome variable

I am looking for an algorithm that can estimate weights for an aggregated weighted average. The difficulty is that my outcome variable is an aggregated group variable. I have the following data that ...
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### Weighted Least Squares vs Monte Carlo comparison

This is a copy of a question originally posted on stackoverflow I have an experimental dataset of the following values (y, x1, x2, w), where y is the measured quantity, x1 and x2 are the two ...
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### Weighted least squares using poisson regression link-log example in R

I'm studying about “weighted least squares” using poisson regression example. And I could got it for poisson link “identity” as following. it would be well because of the same one to minimize (or ...
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### Measure of association adjusting for varied number of observations per person (binary outcome and predictor)

I would like to ask a question about how to alter a model to deal with varied numbers of cases per person (1 vs. 2), or, if I should deal with it some other way, some suggestion around that. I would ...
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### How to generate a weighted regression from repeated experiments in R & using a weights matrix with lm? Is this possible?

I was told in another question that glm cannot do multivariate analysis, so I'm hoping the weights matrix idea isn't doomed through lm, too. I've also spoken with 4 classmates about this (grad ...
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### Poisson regression with offset vs poisson regression with weight [duplicate]

I would like to know the linear expression of weight and offset in terms of poisson regression in glm. for instance for offset ...
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### How do I use weighted least squares in a matrix formulation of a multiple regression analysis?

If the coefficients of OLS multiple regression can be determined by: β = (X'X)^−1 * X'Y, then what formula/matrices would be used for WLS?
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### Formulas for multivariate meta-regression

everyone! I'm digging in meta-regression and doing hand calculations using WLS to get better understanding of the topic. I'm fine with calculations for univariative model (that is, 1 covariate is ...