Peter A. Lachenbruch
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At convergence, the coefficients are the solutions to equations of the form
(X'WX)**-1X'WY, so one might consider looking at the transformed variables
Z=W**(1/2)Y and U=W**(1/2)X and carrying out the same analysis that you did
for linear regression. I believe the analogy carries through exactly.
Tony Lachenbruch