Normalized Maximum Likelihood

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#Model Selection #NML

$$ \mathrm{NML} = \frac{ p(y| \hat \theta(y)) }{ \int_X p( x| \hat \theta (x) ) dx } $$

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Likelihood
Likelihood is not necessarily a pdf

L Ma (2020). 'Normalized Maximum Likelihood', Datumorphism, 11 April. Available at: https://datumorphism.leima.is/cards/statistics/nml/.