Optimal Estimation

摘要

Data Y = {y_t : t = 1,2,... , n}, or Y|X = {{y_t,x_1,t,x_2,t,...•)}, X explanatory variables. Want to learn properties in Y expressed by set of distributions as models: f(Y|X_s; θ, s), where θ = θ_1,..., θ_k(s) real-valued parameters, s structure parameter: for picking the most important variables in X.