When and How to use Weighted Least Squares (WLS) Models

WLS, OLS’ Neglected Cousin

At Metis, one of the first machine learning models I teach is the Plain Jane Ordinary Least Squares (OLS) model that most everyone learns in high school. Excel has a way of removing the charm from OLS modeling; students often assume there’s a scatterplot, some magic math that draws a best fit line, then an r² in the corner that we’d like to get close to 1. Truth is, there’s so much more than meets the eye with OLS, and after about a week, students are crying for mercy (disclaimer: no students…