Thank you very much, Nadheesh.
I did actually read those two web pages, but didn’t understand them fully. For example, they seem to be written for people who understand a notation used in … R? I think? That input language is never explained, and I went down a rabbit hole trying to figure out what it was.
Meanwhile, the documentation for PyMC3 describes a GLM that does not appear to use a formula and that has a Component item that is never explained.
One big question I have is whether the GLM is what one uses when there are hidden components (other than the weights), or if it’s only a tool for fitting weights. The discussion on those web pages, I believe, refers only to models where you have weighted sums where all the terms are observed, but the weights are not – or maybe there’s also an unobserved noise?
I think this is probably not for me, since I have a model where I am dealing with the sum of differently-distributed normals, where the components are not observed (but can be inferred because they appear in different sums).