Weighted Least Squares Method To understand the weighted least squares method, let us consider the model in matrix format with the basic assumption: $$Y= X \beta + \varepsilon$$ where $\varepsilon \sim (0, \sigma^2 I)$, the observations are independent from each other. Weighted Least Squares Method Comparison of OLS vs WLS WLS Practical Implementation Steps Weighted Least Squares FAQs What is the main difference between OLS and WLS?

Ordinary Least Squares (OLS) assumes that every observation has the same variance (homoscedasticity). Weighted Least Squares (WLS) is used when observations have different variances heteroscedasticity
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