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## Re: OT: finding the weights used in weighted least squares regression

**From**: |
Kamaraju S Kusumanchi |

**Subject**: |
Re: OT: finding the weights used in weighted least squares regression |

**Date**: |
Wed, 27 Apr 2011 01:19:44 -0400 |

**User-agent**: |
KNode/4.4.7 |

Ben Abbott wrote:
>* *
>* If I understand what you'd like to do, I think the solution is ...*
>* *
>* W = (A*(A\b)-b) ./ (A*x-b)*
>* *
No. This is not the solution. Consider the following example
octave:10> n=5, m=2, W = diag(rand(n,1)), A = rand(n,m), b = rand(n,1), x =
(W*A) \ (W*b), (A*(A\b)-b) ./ (A*x-b)
n = 5
m = 2
W =
0.63718 0.00000 0.00000 0.00000 0.00000
0.00000 0.75466 0.00000 0.00000 0.00000
0.00000 0.00000 0.69982 0.00000 0.00000
0.00000 0.00000 0.00000 0.08992 0.00000
0.00000 0.00000 0.00000 0.00000 0.94621
A =
0.833095 0.568790
0.792483 0.536521
0.702069 0.588282
0.036704 0.529085
0.238762 0.427252
b =
0.86356
0.77943
0.77652
0.98000
0.49344
x =
0.32941
0.97441
ans =
2.07510
-7.79993
2.55568
0.23533
112.87186
Hence W is not same as (A*(A\b)-b) ./ (A*x-b) .
thanks
--
Kamaraju S Kusumanchi
http://malayamaarutham.blogspot.com/

**OT: finding the weights used in weighted least squares regression**, *Kamaraju S Kusumanchi*, `2011/04/26`
**Re: OT: finding the weights used in weighted least squares regression**, *Ben Abbott*, `2011/04/26`
**Re: OT: finding the weights used in weighted least squares regression**,
*Kamaraju S Kusumanchi* **<=**
**Re: OT: finding the weights used in weighted least squares regression**, *James Sherman Jr.*, `2011/04/27`
**Re: OT: finding the weights used in weighted least squares regression**, *Kamaraju S Kusumanchi*, `2011/04/27`
**Re: OT: finding the weights used in weighted least squares regression**, *Ben Abbott*, `2011/04/27`
**Re: OT: finding the weights used in weighted least squares regression**, *Kamaraju S Kusumanchi*, `2011/04/27`
**Re: OT: finding the weights used in weighted least squares regression**, *Ben Abbott*, `2011/04/27`
**Re: OT: finding the weights used in weighted least squares regression**, *Kamaraju S Kusumanchi*, `2011/04/27`

**Re: OT: finding the weights used in weighted least squares regression**, *Mike Miller*, `2011/04/28`