I am trying to solve a generalized linear squares model with the following form:
$\hat{Y}= X(X'\Omega^{-1}WX)^{-1}X'\Omega^{-1}WY $
$ H= X(X'\Omega^{-1}WX)^{-1}X'\Omega^{-1}W $
$ \Omega$ is the co-variance matrix.
$ W$ is a diagonal matrix that weights a given observation $w_i$ and is normally $I$.
Occasionally a single or multiple diagonal entries in $W$ are updated.
How should a change in $W$ update $H$ without having to recompute $H$ entirely?
