Solution to "Weighted Least Squares" is missing an inverse
Is:
\widehat{x}^{WLS} = =& (H^\top R H)^{-1} H^\top R^{-1} \bar{z}
Should be (Note the inverse on the first R):
\widehat{x}^{WLS} = =& (H^\top R^{-1} H)^{-1} H^\top R^{-1} \bar{z}
Compare with: RE Slides Lecture 5, page 16
Edited by Jan Egli