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What is: Linear Regression?

Year2000
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Linear Regression is a method for modelling a relationship between a dependent variable and independent variables. These models can be fit with numerous approaches. The most common is least squares, where we minimize the mean square error between the predicted values y^=Xβ^\hat{y} = \textbf{X}\hat{\beta} and actual values yy: (yXβ)2\left(y-\textbf{X}\beta\right)^{2}.

We can also define the problem in probabilistic terms as a generalized linear model (GLM) where the pdf is a Gaussian distribution, and then perform maximum likelihood estimation to estimate β^\hat{\beta}.

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