Copyright © 2006 Elsevier B.V. All rights reserved.
Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models
Received 3 January 2006;
References and further reading may be available for this article. To view references and further reading you must purchase this article.
Abstract
Fitting of non-Gaussian hierarchical random effects models by approximate maximum likelihood can be made automatic to the same extent that Bayesian model fitting can be automated by the program BUGS. The word “automatic” means that the technical details of computation are made transparent to the user. This is achieved by combining a technique from computer science known as “automatic differentiation” with the Laplace approximation for calculating the marginal likelihood. Automatic differentiation, which should not be confused with symbolic differentiation, is mostly unknown to statisticians, and hence basic ideas and results are reviewed. The computational performance of the approach is compared to that of existing mixed-model software on a suite of datasets selected from the mixed-model literature.
Keywords: AD Model Builder; Automatic differentiation; Importance sampling; Laplace approximation; Mixed models; Random effects
Article Outline
- 1. Introduction
- 2. Hierarchical models
- 3. Computational techniques
- 3.1. Automatic differentiation
- 3.2. The Laplace approximation and its gradient
- 3.3. Numerical optimization
- 3.4. Conditional independence
- 3.5. Laplace importance sampling
- 4. Examples
- 4.1. Negative binomial distribution
- 4.2. Poisson regression with spatially correlated random effects
- 4.3. A state-space model for discrete time series
- 4.4. Nonparametric modelling of mean and variance
- 4.5. A growth curve model
- 5. Discussion
- Acknowledgements
- References







E-mail Article
Add to my Quick Links

Cited By in Scopus (6)






v