Least squares is an estimation technique.
It is the basis for linear regression.
Least squares types:
- OLS
- LLS
- NLS
- GLS
Ordinary least squares (OLS) formula is:
$$\hat{beta} = (X^T \, X)^{-1} \, X^T y$$
The Gram matrix is \(X^T \, X\).
For OLS to work, \(X^T \, X\) must be invertible.
It is not invertible when there is perfect multicollinearity.
Linear least squares (LLS) is…
Non-linear least squares (NLLS) is…
Generalized Least Squares (GLS) is…
Reference:
Related entries
- Frequentist inferential statistics
- Linear regression