Improved Laplace approximation for marginal likelihoods

DOI10.1214/16-EJS1218zbMATH Open1357.62129arXiv1502.06440OpenAlexW3104121974MaRDI QIDQ502848FDOQ502848

Authors: Erlis Ruli, N. Sartori, Laura Ventura 

Publication date: 11 January 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Statistical applications often involve the calculation of intractable multidimensional integrals. The Laplace formula is widely used to approximate such integrals. However, in high-dimensional or small sample size problems, the shape of the integrand function may be far from that of the Gaussian density, and thus the standard Laplace approximation can be inaccurate. We propose an improved Laplace approximation that reduces the asymptotic error of the standard Laplace formula by one order of magnitude, thus leading to third-order accuracy. We also show, by means of practical examples of various complexity, that the proposed method is extremely accurate, even in high dimensions, improving over the standard Laplace formula. Such examples also demonstrate that the accuracy of the proposed method is comparable with that of other existing methods, which are computationally more demanding. An R implementation of the improved Laplace approximation is also provided through the R package iLaplace available on CRAN.

Full work available at URL: https://arxiv.org/abs/1502.06440

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zbMATH Keywords

Bayes factornumerical integrationintegrated likelihoodasymptotic expansions for integralsconditional minimisationnormalising constant

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Software, source code, etc. for problems pertaining to statistics (62-04) Generalized linear models (logistic models) (62J12)

Cited In (12)

• Laplace approximation in measurement error models
• A novel method of marginalisation using low discrepancy sequences for integrated nested Laplace approximations
• Some improvements to the Shenoy-Shafer and Hugin architectures for computing marginals
• On a generalization of the Laplace approximation
• Improved informative prior for the mixture of Laplace distribution under different loss functions
• A new mixed‐effects regression model for the analysis of zero‐modified hierarchical count data
• The reciprocal Bayesian Lasso
• Ultra-Fast Approximate Inference Using Variational Functional Mixed Models
• ASYMPTOTIC LIKELIHOOD APPROXIMATIONS USING A PARTIAL LAPLACE APPROXIMATION
• Penalty parameter selection and asymmetry corrections to Laplace approximations in Bayesian P-splines models
• Improving the INLA approach for approximate Bayesian inference for latent Gaussian models
• Approximate Bayesian model inversion for PDEs with heterogeneous and state-dependent coefficients

Uses Software

• R
• CRAN
• JAGS
• iLaplace

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