weight_design_band function

Fast computation of weighted design matrix for generalized linear model

weight_design_band(w, alpha, B)

Arguments

• w: Vector of weights.
• alpha: Vector of indexes representing the start of blocks of the design matrix, as given by block_design .
• B: Design matrix in compressed block format, as given by block_design .

Returns

Weighted design matrix $X^T diag(w) X$ where X is the design matrix and W = diag(w) is a diagonal matrix of weights.