In a weighted least squares regression, the average of the weights must equal 1.

Name: In a weighted least squares regression, the average of the weights must equal 1.
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In weighted least squares regression, there is no requirement that the average of the weights equals 1. The weights are used to give different importance to different observations, and their absolute or average values are not constrained in this way.

In a Weighted Least Squares Regression, the Average of the Weights