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Bayesian inference is a method of statistical inference that relies on treating the model parameters as random variables and applying Bayes' theorem to deduce subjective probability statements about the parameters or hypotheses, conditional on the observed dataset.
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Low rank plus diagonal approximation of covariance of model parameters
In this paper regarding Bayesian Deep Learning, in Section 3.4, the authors want to approximate the covariance of a distribution over the model parameters $\theta$. …