Hi all, I'm trying to port to sklearn some R code that does WLS and I noticed that the fit method for some classes will accept a sample_weight parameter (v.g. SGDRegressor) while for other classes it won't (v.g. LinearRegression). Is this just inconsistent or has it a rationale behind? Maybe in some cases you're expected to pass the already transformed X and y for some reason I'm not able to grasp.
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