numbers by which the variances are multiplied in weighted least squares (WLS) regression
Note 1 to entry: OLS (ordinary least squares) regression handles the uniform variances. However, in WLS regression, the variances are assumed to be non-uniform and the weighting factors are used to handle the non-uniform variances.
Note 2 to entry: Let σx12,…, σxn2 be the variances of the variables x1,…, xn respectively. Then, in OLS regression, σx12 = ∙∙∙ = σxn2 (= σx2), whereas, in WLS regression, typically σx12 ≠∙∙∙≠ σxn2. However, even in the case of WLS regression, the equality w1σx12 = ∙∙∙ = wnσxn2 (= σx2) can be established by utilizing the weighting factors wi’s (i = 1,…, n).