Fitting double hierarchical models with the integrated nested Laplace approximation
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Abstract: Double hierarchical generalized linear models (DHGLM) are a family of models that are flexible enough as to model hierarchically the mean and scale parameters. In a Bayesian framework, fitting highly parameterized hierarchical models is challenging when this problem is addressed using typical Markov chain Monte Carlo (MCMC) methods due to the potential high correlation between different parameters and effects in the model. The integrated nested Laplace approximation (INLA) could be considered instead to avoid dealing with these problems. However, DHGLM do not fit within the latent Gaussian Markov random field (GMRF) models that INLA can fit. In this paper we show how to fit DHGLM with INLA by combining INLA and importance sampling (IS) algorithms. In particular, we will illustrate how to split DHGLM into submodels that can be fitted with INLA so that the remainder of the parameters are fit using adaptive multiple IS (AMIS) with the aid of the graphical representation of the hierarchical model. This is illustrated using a simulation study on three different types of models and two real data examples.
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Cites work
- Adaptive multiple importance sampling
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Approximate Bayesian inference for mixture cure models
- Bayesian inference with INLA
- Double Hierarchical Generalized Linear Models (With Discussion)
- Estimating infant mortality in Colombia: some overdispersion modelling approaches
- Handbook of Markov Chain Monte Carlo
- scientific article; zbMATH DE number 1817585 (Why is no real title available?)
- scientific article; zbMATH DE number 47310 (Why is no real title available?)
- Markov chain Monte Carlo with the integrated nested Laplace approximation
- Modelling random effect variance with double hierarchical generalized linear models
- Probabilistic Networks and Expert Systems
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