The WEIGHT statement replaces with , where is a diagonal matrix containing the weights. Observations with nonpositive or missing weights are not included in the resulting PROC HPMIXED analysis. If a WEIGHT statement is not included, all observations used in the analysis are assigned a weight of 1.

If a computation in PROC MIXED involves , then the WEIGHT statement replaces with . For example, the covariance matrix for the observations usually have the form ; therefore, with the WEIGHT statement, this becomes