part of linear regression for analysis of continuous dependent variable model parameter estimation weighted least squares estimation WLS estimation Alejandra Gonzalez-Beltran Camille Maumet Orlaith Burke Philippe Rocca-Serra Tom Nichols http://en.wikipedia.org/wiki/Least_squares#Weighted_least_squares and Tom Nichols https://stat.ethz.ch/R-manual/R-patched/library/stats/html/lm.html the weighted least squares estimation is a model parameter estimation for a linear regression model with errors that independent but have heterogeneous variance. Difficult to use use in practice, as weights must be set based on the variance which is usually unknown. If true variance is known, it is the Best Linear Unbiased Estimation (BLUE) method under these assumptions, Uniformly Minimum-Variance Unbiased Estimator (UMVUE) with addition of a Gaussian assumption. metadata complete