Gauss Linear Model
The model says that the are generated as follows:
- there are no restrictions on the way are generated;
- given , the are generated from , where is a vector of parameters, is distributed as , and is another parameter.
See Section 8.5 of Vovk et al. (2005) and Vovk et al. (2008) for the formulation of this model as an on-line compression model.