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

[Ben Abbott]

On Apr 26, 2011, at 8:30 AM, Kamaraju S Kusumanchi wrote:

> The weighted least squares regression is done by solving 
> W A x = W b
> for x, where W is nxn, A is nxm, x is mx1, b is nx1. W is a diagonal matrix.
> 
> My question is that, in the above set up, if we are given A, x, b is it 
> possible to solve for the W?
> 
> thanks

If I understand what you'd like to do, I think the solution is ...

        W = (A*(A\b)-b) ./ (A*x-b)

Ben