Here's a simple example using the new regression functions in the 12a release. All you need to do is pass the appropriate weight vector in to the LinearModel function.
% Generate some data
X = 10 * rand(100,1);
Y = 5 + 3*X + randn(100,1);
% Assume a weight vector
temp = linspace(1, 50, 50);
temp = temp';
Weight_Vector = vertcat(temp, flipud(temp))
% Perform your regression
myFit = LinearModel.fit(X,Y, 'Weights', Weight_Vector)
plot(myFit)
FWIW, you can also pass weight vectors in to other regression functions, so if you're easier earlier versions of the Tbx you should be fine.
