[paraschopra]

Yes, but you have to specify a generative model (or at least put boundaries to it). Then you learn params of that model.

I was talking about learning the model structure also.

[atschantz]

Some attempts have been made in the form of Bayesian model reduction [1].

The idea is to 'carve' out the structure of your model using free energy minimization.

[1] https://arxiv.org/abs/1805.07092