MSE as Maximum Likelihood

Jessica YungMachine LearningLeave a Comment

MSE is a commonly used error metric. But is it principly justified? In this post we show that minimising the mean-squared error (MSE) is not just something vaguely intuitive, but emerges from maximising the likelihood on a linear Gaussian model. Defining the terms Linear Gaussian Model Assume the data is described by the linear model , where . Assume is … Read More