Markov chain Monte Carlo with the integrated nested Laplace approximation
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Publication:1616779
DOI10.1007/S11222-017-9778-YzbMATH Open1405.62078arXiv1701.07844OpenAlexW2585195873MaRDI QIDQ1616779FDOQ1616779
Authors: Virgilio Gómez-Rubio, Håvard Rue 
Publication date: 7 November 2018
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: The Integrated Nested Laplace Approximation (INLA) has established itself as a widely used method for approximate inference on Bayesian hierarchical models which can be represented as a latent Gaussian model (LGM). INLA is based on producing an accurate approximation to the posterior marginal distributions of the parameters in the model and some other quantities of interest by using repeated approximations to intermediate distributions and integrals that appear in the computation of the posterior marginals. INLA focuses on models whose latent effects are a Gaussian Markov random field (GMRF). For this reason, we have explored alternative ways of expanding the number of possible models that can be fitted using the INLA methodology. In this paper, we present a novel approach that combines INLA and Markov chain Monte Carlo (MCMC). The aim is to consider a wider range of models that cannot be fitted with INLA unless some of the parameters of the model have been fixed. Hence, conditioning on these parameters the model could be fitted with the R-INLA package. We show how new values of these parameters can be drawn from their posterior by using conditional models fitted with INLA and standard MCMC algorithms, such as Metropolis-Hastings. Hence, this will extend the use of INLA to fit models that can be expressed as a conditional LGM. Also, this new approach can be used to build simpler MCMC samplers for complex models as it allows sampling only on a limited number parameters in the model. We will demonstrate how our approach can extend the class of models that could benefit from INLA, and how the R-INLA package will ease its implementation. We will go through simple examples of this new approach before we discuss more advanced problems with datasets taken from relevant literature.
Full work available at URL: https://arxiv.org/abs/1701.07844
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MCMCmixture modelsBayesian Lassomissing valuesspatial modelsINLAIntegrated Nested Laplace Approximationlatent Gaussian model
Bayesian inference (62F15) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Ridge regression; shrinkage estimators (Lasso) (62J07)
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Cited In (30)
- A principled stopping rule for importance sampling
- A novel method of marginalisation using low discrepancy sequences for integrated nested Laplace approximations
- Importance Sampling with the Integrated Nested Laplace Approximation
- Parallelized integrated nested Laplace approximations for fast Bayesian inference
- An efficient workflow for modelling high-dimensional spatial extremes
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- An approximate Bayesian approach for estimation of the instantaneous reproduction number under misreported epidemic data
- A joint Bayesian framework for missing data and measurement error using integrated nested Laplace approximations
- Laplacian-P-splines for Bayesian inference in the mixture cure model
- A new class of interacting Markov chain Monte Carlo methods
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- Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
- A new avenue for Bayesian inference with INLA
- Impact of jittering on raster- and distance-based geostatistical analyses of DHS data
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- Approximating Bayes in the 21st century
- Extending integrated nested Laplace approximation to a class of near-Gaussian latent models
- MSPOCK: alleviating spatial confounding in multivariate disease mapping models
- A toolbox for fitting complex spatial point process models using integrated nested Laplace approximation (INLA)
- Improving the INLA approach for approximate Bayesian inference for latent Gaussian models
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