Weighted mean minimizes squared deviations

ID: weighted-mean-minimizes-squared-deviations

For a finite list of real numbers and nonnegative weights of positive total , the weighted mean uniquely minimizes the weighted sum of squared deviations
Expanding around and using gives
Every displacement from the weighted mean increases the objective. This is the simplest one-parameter weighted least squares problem: represent all entries by one common value.
For the weighted values and with weights and ,
Thus , while . The minimum is defined by this squared-error criterion; a different loss can select a different summary, such as a median under unweighted absolute deviations.
Figure 1.
The weighted mean is the unique minimum of a squared-error objective
. For , the minimum is at . Moving to increases the objective by . Details.

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