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 $\bV = \mb{ZGZ}’ + \bW ^{-1/2} \bR \bW ^{-1/2}.$