The MIXED Procedure

WEIGHT Statement

WEIGHT variable ;

If you do not specify a REPEATED statement, the WEIGHT statement operates exactly like the one in PROC GLM. In this case PROC MIXED replaces $\mb {X’X}$ and $\mb {Z’Z}$ with $\mb {X’WX}$ and $\mb {Z’WZ}$, where $\bW $ is the diagonal weight matrix. If you specify a REPEATED statement, then the WEIGHT statement replaces $\bR $ with $\mb {LRL} $, where $\bL $ is a diagonal matrix with elements $\bW ^{-1/2}$. Observations with nonpositive or missing weights are not included in the PROC MIXED analysis.

If a computation in PROC MIXED involves $\bR $, then the WEIGHT statement replaces $\bR $ with $\bW ^{-1/2} \bR \bW ^{-1/2}$. For example, the covariance matrix $\bV $ for the observations usually have the form $\bV = \mb {ZGZ}’ + \bR $, which with the WEIGHT statement becomes $\bV = \mb {ZGZ}’ + \bW ^{-1/2} \bR \bW ^{-1/2}.$