Weighted Least Squares

Usage

wls(X, Y, w = NULL, return_se = FALSE)

Arguments

X

(matrix): n x p matrix of covariates.

Y

(vector): p-vector of outcome values.

w

(vector, optional): n-vector of sample weights.

return_se

(bool, optional): Whether to return the standard errors of the coefficients.

Value

(list): A list containing the following:

theta

(vector): p-vector of weighted least squares estimates of the coefficients.

se

(vector): If return_se == TRUE, return the p-vector of standard errors of the coefficients.

Examples

n <- 1000

X <- rnorm(n, 1, 1)

w <- rep(1, n)

Y <- X + rnorm(n, 0, 1)

wls(X, Y, w = w, return_se = TRUE)
#> $theta
#>         X 
#> 0.9892422 
#> 
#> $se
#>         X 
#> 0.0226202 
#>