Hi all,
  I'd like to fit a multivariate regression with the variance of the error term porportional to the predictors, like the WLS in the univariate case.
  y_1~x_1+x_2
  y_2~x_1+x_2
  var(y_1)=x_1*sigma_1^2
  var(y_2)=x_2*sigma_2^2
  cov(y_1,y_2)=sqrt(x_1*x_2)*sigma_12^2

 How can I specify this in R? Is there a corresponding function to the univariate specification lm(y~x,weights=x)?? Thanks.

Sincerely,
Yanwei Zhang
Department of Actuarial Research and Modeling
Munich Re America
Tel: 609-275-2176
Email: yzhang@munichreamerica.com<mailto:yzhang@munichreamerica.com>


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