Function Approximation and Ordinary Least Squares


The mathematics of least squares would have been so trivial for Gauss that even had he come upon the method he might have passed it over as but one of many, not noticing its true significance until Legendre's book prodded his memory and produced a post facto priority claim. There have been many extraordinary equations that changed the world (whether they were discovered or invented depends on whether you subscribe to mathematical Platonism--I do) but among the 17 equations that changed the world, the legendary Ordinary Least Squares (OLS) wasn't listed among them (though it is heavily related to both the Normal Distribution and Information Theory). It's a shame because the article and tweets referencing the "17 Equations" have been floating around for nearly ten years. So I will tell you about the magic of OLS, a little about its history, some of its extensions, and its applications (yes, to Fintech too). Subscribe for free to receive new posts and support my work.

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