In this paper, we discuss the problem of regression analysis in a fuzzy domain. By considering an iterative Weighted Least Squares estimation approach, we propose a general linear regression model for studying the dependence of a general class of fuzzy response variable, i.e., <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$LR_2$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mi>L</mi> <msub> <mi>R</mi>...</mn></msub></mrow></math></equationsource></equationsource></inlineequation>