Understanding scipy's least square function with IRLS

Question

I\'m having a bit of trouble understanding how this function works.

a, b = scipy.linalg.lstsq(X, w*signal)[0]

I know that signal is the arr

Answer 1

Create a diagonal matrix W from the elementwise square-roots of w. Then I think you just want:

scipy.linalg.lstsq(np.dot(W, X), np.dot(W*signal))

Following http://en.wikipedia.org/wiki/Linear_least_squares_(mathematics)#Weighted_linear_least_squares