求大神帮忙 关于weighted least squares

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关于这个作业 我用proc nlin做出A和B，也得到了variance分段大约在t=340,第二部分变成了2个variance,和做weighted least square. 求助code怎么写？谢谢！

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关键词：weighted Squares Square Weight Least least

The second one IS indeed weighted least square.

Two weights namely (sigma1, sigma2)**2 are from first step.

There are 2 rough assumptions here,
1) the boundary of two region(time period) is known or determined very subjective. You can argue it is a period problems, etc.
2) within each period the variance is constant.

If you want to estimate all parameters(A, B, sigma1, sigma2) together. I do think proc nlin will do it. You have to write it in other packages, Such as, proc IML, or optmodel.