Weightened linear model in GLM.jl

[nilshg]

IIRC weights in GLM are frequency weights, see an old discussion here:

Usage of different types of weights

The weights.jl file describes three types of weights: frequency weights, probability weights, and analytic weights. This is an amazing feature to Julia, as only commercial software like STATA and SAS understand the differences between these 3 weights. R and Python only understand one type of weight, which I think is something like an importance weight. Being able to use these 3 types of weights properly is crucial to the field that I work in (causal machine learning). Most software implementat…